Economics, Econometrics and Finance
8 years ago

No-arbitrage rule impacts interest rate volatility estimation and prediction.

RePEc: Research Papers in Economics
Impact of No-arbitrage on Interest Rate Dynamics
Hideyuki Takamizawa

Paper Summary

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The way interest rates change is influenced by the relationship between different interest rates, known as the no-arbitrage condition. This connection affects how we estimate and predict the volatility of interest rates.