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Paper / 2013SMQ / 91180784651422
“European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration”
Helena Chuliá / Pilar Abad
econometrics / fixed incomeResource overview

“European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration”

Paper2013

by Helena Chuliá, Pilar Abad

Tags
econometricsfixed incomeinterest rates

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Suggested foundations for volatility models and surfaces and rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

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