XVII Workshop on Quantitative Finance -- Session on FINANCE II (Sala Azzurra)
speaker: Maria Cristina Recchioni
speaker: Gabriele Tedeschi
timetable:
Fri 29 Jan, 16:00 - 17:30, Sala Azzurra
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communication: From bond yield to macroeconomic instability: a parsimonious affine model
speaker: Thomas Luxspeaker: Maria Cristina Recchioni
speaker: Gabriele Tedeschi
abstract: We present a hybrid Heston model with a local stochastic volatility to describe government bond yield dynamics. The model is analytically tractable and, therefore, can be efficiently estimated using the maximum likelihood approach. The contribution of the model is twofold. First, it captures changes in the yield volatility and predicts future yield values of Germany, France, Italy and Spain. This provides an early-warning indicator of instability phases in the countries investigated. Second, the model describes convergencedivergence phenomena among European government bond yields and investigate the countries’ reaction to a common monetary policy dictated by the EONIA interbank rate.
timetable:
Fri 29 Jan, 16:00 - 17:30, Sala Azzurra
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