Title:

The Elasticity of Interest Rate Volatility : Chan, Karolyi, Longstaff, and Sanders Revisited, Working Paper 97-13a

Diversity is critical to the Federal Reserve, and we are firmly committed to fostering a diverse and inclusive culture throughout the Federal Reserve System. Collections within FRASER contain historical language, content, and descriptions that reflect the time period within which they were created and the views of their creators. Certain collections contain objectionable content—for example, discriminatory or biased language used to refer to racial, ethnic, and cultural groups. These viewpoints and attitudes are inconsistent with our values, but the original descriptions are retained to ensure that they are not erased from the historical record.
Save & Share
less

Federal Reserve Bank of Atlanta. "The Elasticity of Interest Rate Volatility : Chan, Karolyi, Longstaff, and Sanders Revisited, Working Paper 97-13a" in Working Papers (Federal Reserve Bank of Atlanta) (Revised March 1998). https://fraser.stlouisfed.org/title/8586/item/656638, accessed on May 21, 2024.

More Information
less

Keywords: interest rate processes, model comparison, regime shifts, interest rate volatility

  • jel: E40, C52