Estimating value-at-risk under a Heath-Jarrow-Morton framework with jump

Keyphrases

• At-risk 100%
• Heath-Jarrow-Morton Framework 100%
• Heath-Jarrow-Morton 100%
• Volatility 66%
• Jump Diffusion 66%
• Heath-Jarrow-Morton Model 66%
• Futures Prices 33%
• Sampling Test 33%
• Hereafter 33%
• Article Use 33%
• Non-normality 33%
• VaR Forecasts 33%
• Diffusion Framework 33%
• Interest Rate Derivatives 33%
• Eurodollar Futures 33%
• VAR Model 33%

Economics, Econometrics and Finance

• Volatility 100%
• Price 50%
• Interest Rate Derivative 50%