3 papers
q-fin.ST2025
Zero-Coupon Treasury Rates and Returns using the Volatility Index
Jihyun Park, Andrey Sarantsev
We study a multivariate autoregressive stochastic volatility model for the first 3 principal components (level, slope, curvature) of 10 series of zero-coupon Treasury bond rates wi…
q-fin.ST2025
New Time Series Models for Corporate Bond Log Yields
Jihyun Park, Andrey Sarantsev
We propose a class of simple time series models for rates and spreads of portfolios of corporate bonds classified by ratings provided by Bank of America. We evaluate these models b…
q-fin.ST2024
Log Heston Model for Monthly Average VIX
Jihyun Park, Andrey Sarantsev
We model time series of VIX (monthly average) and monthly stock index returns. We use log-Heston model: logarithm of VIX is modeled as an autoregression of order 1. Our main insigh…