Bond risk premia and realized jump volatility
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2007 - Business & Economics - 37 pages
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24 month rolling Adam Copeland Andersen Andrew Cohen April Athanasios Orphanides Bollerslev bond excess returns bond prices bond risk premia bond yields Brian Sack Campbell countercyclical December Econometrics Economics Discussion Series Empirical equity excess bond returns expected excess bond Federal Reserve Board Finance and Economics Financial Economics ﬁnd ﬁnding Forecasts forward rates Hao Zhou high-frequency holding an n-month holding period incomplete markets Inﬂation Interc't Interest Rate Interest Rate Derivatives Jonathan H Journal of Financial jump intensity jump measures jump risk measures market jump volatility mean and jump Monetary Policy month rolling window n-month bond Newey-West t-statistics November October predicting excess bond predictors price-dividend ratio Realized Jump Volatility realized volatility regression of excess returns on forward returns on holding Singleton speciﬁcation statistically signiﬁcant structure of forward t-statistics in parentheses Table Tauchen Term Structure Model Timothy H unspanned stochastic volatility USV hypothesis variables volatility and jump volatility factor volatility risk