How sensitive is short-term Japanese interest rate volatility to the level of the interest rate?

DOI10.1016/S0165-1765(97)00133-XzbMath0896.90013MaRDI QIDQ1389482

Takato Hiraki, Nobuya Takezawa

Publication date: 30 June 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

term structurevolatilityJapanese interest rates

Mathematics Subject Classification ID

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Theory of the Term Structure of Interest Rates
• Hypothesis Testing with Efficient Method of Moments Estimation
• An equilibrium characterization of the term structure
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