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A Term Structure Model of Interest Rates with Quadratic Volatility. (2017). Takamizawa, Hideyuki.
In: Working Paper Series.
RePEc:hit:hcfrwp:g-1-18.

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  24. Thompson, S., 2008, Identifying term structure volatility from the LIBOR-swap curve, Review of Financial Studies 21, 819-854. Factor (Index) r (i = 1) (i = 2) x3 (i = 3) Risk-neutral drift kQ .,0 0 0 0.0016 (0.0001) kQ .,1 0 −0.887 (0.025) 0 kQ .,2 1 −1.852 (0.051) 0 kQ .,3 0 1 −0.0064 (0.0019) Physical drift Diag(K1) −0.238 (0.051) −2.465 (0.430) −0.057 (0.044) Covariance matrix srr,0 0 s.,0 0 0 srr,3 × 102 0.112 (0.005) s.,3 × 102 −0.238 (0.021) 1.782 (0.100) s.3,3 × 102 0.012 (0.005) 0.156 (0.019) 0.155 (0.009) ς × 104 6.150 (0.096) LogL 22276

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