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@article{ART001747028},
author={Joon-Hee Rhee and 박수천 and 김재윤},
title={A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2013},
volume={24},
number={1},
pages={67-88}

TY - JOUR
AU - Joon-Hee Rhee
AU - 박수천
AU - 김재윤
TI - A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility
JO - Journal of Insurance and Finance
PY - 2013
VL - 24
IS - 1
PB - Korea Insurance Research Institute
SP - 67
EP - 88
SN - 2384-3209
AB - This paper develops a two-factor model of the term structure of the swap spread. In our model, the swap spread depends on 1) the instantaneous swap rate as the first factot and 2) the stochastic volatility of the swap spread as the second factor. We propose the closed form solution of swap spread from the chosen two factors. We estimate the stochastic volatility from the GARCH(1,1) model. We also test our model by using GMM based on the cross sectional data. The empirical result shows that the volatility is not significant for explaining the term structure of swap spread, but the first factor model has the explanatory power for the term structure of swap spread in Korean market.
KW - GARCH;GMM;stochastic volatility;swap spread;term structure of interest rate
DO -
UR -
ER -

Joon-Hee Rhee, 박수천 and 김재윤. (2013). A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility. Journal of Insurance and Finance, 24(1), 67-88.

Joon-Hee Rhee, 박수천 and 김재윤. 2013, "A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility", Journal of Insurance and Finance, vol.24, no.1 pp.67-88.

Joon-Hee Rhee, 박수천, 김재윤 "A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility" Journal of Insurance and Finance 24.1 pp.67-88 (2013) : 67.

Joon-Hee Rhee, 박수천, 김재윤. A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility. 2013; 24(1), 67-88.

Joon-Hee Rhee, 박수천 and 김재윤. "A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility" Journal of Insurance and Finance 24, no.1 (2013) : 67-88.

Joon-Hee Rhee; 박수천; 김재윤. A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility. Journal of Insurance and Finance, 24(1), 67-88.

Joon-Hee Rhee; 박수천; 김재윤. A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility. Journal of Insurance and Finance. 2013; 24(1) 67-88.

Joon-Hee Rhee, 박수천, 김재윤. A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility. 2013; 24(1), 67-88.

Joon-Hee Rhee, 박수천 and 김재윤. "A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility" Journal of Insurance and Finance 24, no.1 (2013) : 67-88.