Bond Risk Premia and Realized Jump VolatilityDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2007 - Bonds - 37 pages |
Common terms and phrases
24 month rolling Adam Copeland Andersen Andrew Cohen April Athanasios Orphanides Benzoni Bollerslev bond excess returns bond prices bond risk premia bond yields Brian Sack Campbell correlation countercyclical December Dynamic Econometrics Economics Discussion Series Empirical equity excess bond returns excess stock returns expected excess bond Federal Reserve Board Finance and Economics Financial Economics Forecasts forward rates Hannan Hao Zhou high-frequency holding an n-month holding period Interest Rates 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 predictive power predictors Ravi Jagannathan Realized Jump Volatility realized volatility regression of excess returns on forward returns on holding Singleton Stock Market structure of forward t-statistics in parentheses Tauchen Term Structure Model Tim Bollerslev Timothy H unspanned stochastic volatility USV hypothesis variables volatility and jump volatility factor volatility risk