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Dynamically Consistent Analysis of Realized Covariations in Term Structure Models

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arxiv 2406.19412 v1 pith:UGIXYI3V submitted 2024-06-17 q-fin.ST econ.EMq-fin.MF

Dennis Schroers This is my paper · ORCID
classification q-fin.STecon.EMq-fin.MF
keywords structuretermbondconsistentfactorsnumberanalysisanalyze
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In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of statistically relevant factors in the bond market under minimal conditions. We apply this method in an empirical study which suggests that a high number of factors is needed to describe the term structure evolution and that the term structure of volatility varies over time.

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  1. Nonparametric Inference for Noise Covariance Kernels in Parabolic SPDEs using Space-Time Infill-Asymptotics

    math.ST 2025-08 conditional novelty 7.0 of 10

    Realized covariations from discrete space-time data consistently estimate the noise covariance kernel of a parabolic SPDE in Hilbert-Schmidt norm, with rates and tests, even when the differential operator is unknown.

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