Wednesday, April 29, 2015

Volatility Institute 2015

I'm baaaaaack...

Speaking of being back, I'm just back from the Rob Engle / NYU Volatility Institute Annual Conference.  (Well, more or less just back.) Great people, great science, tightly-focused on a fascinating and timely area, the bond market and yield-curve modeling.  Program and links to papers here.  I think they'll post slides soon as well.  Mine are here.  Shortly I'll blog separately on what I see as the two key econometric approaches to arbitrage-free yield-curve modeling in zero-lower-bound environments:  The ARG0 approach of Monfort et al. (the new paper I discussed) and the shadow-rate approach of Krippner et al. (going way back to Fischer Black.)