Estimating the Term Structure of Volatility in Futures Yield - a Maximum Likelihood Approach
نویسندگان
چکیده
The volatility structure of 90-day bill futures traded on the Sydney Futures Exchange is analysed within the framework of the Heath-Jarrow-Morton model. The method involves characterisation of the transition probability density function for the forward rate process represented by the stochastic differential equation in the arbitrage-free economy. Maximisation of the likelihood function then results in the estimates of the parameters of the volatility function. The volatility function is also used in a simulation of the preference-free stochastic differential equation for bill prices. c:\wpdata\carl\research\94_08_16.fut To be presented at C.B.O.T. Seminar Hong Kong, March 13-14, 1995 c:\wpdata\carl\research\94_08_16.fut
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