Predictive power of the implied volatility term structure in the fixed-income market

Keyphrases

• Predictive Power 100%
• Huang's Model 100%
• Implied Volatility Term Structure 100%
• Fixed Income Markets 100%
• Chen Model 100%
• Volatility 33%
• Swaptions 33%
• Pricing Model 33%
• Swap Rate 33%
• Interest Rates 33%
• Interest Rate Models 33%
• Economic Conditions 33%
• Implied Volatility 33%
• Volatility Term Structure 33%
• Bond Excess Returns 33%
• Swaption Pricing 33%

Economics, Econometrics and Finance

• Volatility 100%
• Fixed Income Market 100%
• Pricing 16%
• Macroeconomic Performance 16%