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首页> 外文期刊>Statistica neerlandica >Processes with volatility-induced stationarity: an application for interest rates
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Processes with volatility-induced stationarity: an application for interest rates

机译：波动导致平稳的过程：利率申请

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摘要

In this paper we propose a refinement of the existing definition of volatility-induced stationary that allows us to distinguish between processes with drift and diffusion induced stationarity and processes with pure volatility-induced stationarity. We also propose a classification of stationary processes with volatility-induced stationarity according to the volatility that is needed to inject stationarity. Processes with volatility-induced stationarity are potentially applicable to interest rate time-series since, as has been acknowledged, mean-reversion effects occur mainly in periods of high volatility. As such, we provide evidence that the logarithm of the Fed funds rate can be modelled as a local martingale with volatility-induced stationarity.
机译：在本文中，我们提出了对波动性引起的平稳性的现有定义的改进，使我们能够区分具有漂移和扩散引起的平稳性的过程与具有纯粹的波动性引起的平稳性的过程。我们还根据注入平稳性所需的波动性，提出了具有波动性引起的平稳性的平稳过程的分类。具有波动性引起的平稳性的过程可能适用于利率时间序列，因为众所周知，均值回归效应主要发生在高波动性时期。因此，我们提供的证据表明，可以将联邦基金利率的对数建模为具有波动性引起的平稳性的本地mar。

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