Summary of statistics.

Name: Summary of statistics.
Published: 2023-02-23T18:35:16+00:00
License: https://creativecommons.org/licenses/by/4.0/
Keywords: mean reversion separately, market changes whereas, interest rate market, swaption normal volatility, calibrate gaussian two, volatility parameters, gaussian two, xlink ">, step method, step approach, proposed two, parameters simultaneously, parameter estimates, overly sensitive, factor model, efficient approximation

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posted on 2023-02-23, 18:35 authored by Myeongsu Choi, Hyoung-Goo Kang

Panel A reports the summary statistics of the KRW yield curve from January 2017 to December 2020. The number of observations is 997. Panels B, C, D, and E show the summary statistics of KRW swaption normal volatility for the same period.

Summary of statistics.

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