Realized Moments And Bond Pricing
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| Author | : Barbora Malinska |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
This paper examines both intertemporal and contemporaneous relationship between excess US Treasury futures returns and realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized kurtosis remain insignificant. Moreover, in addition to strong explanatory power of realized skewness for contemporaneous excess returns, we find evidence of intra-temporal returnvolatility trade-off dependent on skewness regime (i.e. positive or negative skewness).
| Author | : Barbora Malinska |
| Publisher | : |
| Total Pages | : |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
We examine time-varying explanatory power of realized moments on subsequent bond futures excess returns using more than 12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized kurtosis to carry valuable information for next-day open-close excess returns on the U.S. market which is not priced in traditional bond return predictors such as term or default spreads. Most importantly, we reveal the bond excess return predictability to be significantly dynamic and to increase during crisis period. Whereas the realized volatlity reveals to have negative effect on next-day excess returns, effect of realized kurtosis is switching from positive effect in the time of 2007-2009 financial crisis to negative values after 2014.
| Author | : Riccardo Rebonato |
| Publisher | : Cambridge University Press |
| Total Pages | : 781 |
| Release | : 2018-06-07 |
| Genre | : Business & Economics |
| ISBN | : 1316732959 |
In this book, well-known expert Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine modeling of the government bond markets. He presents and critically discusses the wealth of empirical findings that have appeared in the literature of the last decade, and introduces the 'structural' models that are used by central banks, institutional investors, sovereign wealth funds, academics, and advanced practitioners to model the yield curve, to answer policy questions, to estimate the magnitude of the risk premium, to gauge market expectations, and to assess investment opportunities. Rebonato weaves precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
| Author | : Sabri Boubaker |
| Publisher | : World Scientific |
| Total Pages | : 828 |
| Release | : 2019-06-27 |
| Genre | : Business & Economics |
| ISBN | : 9813236663 |
The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.
| Author | : Torben Gustav Andersen |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 1045 |
| Release | : 2009-04-21 |
| Genre | : Business & Economics |
| ISBN | : 3540712976 |
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
| Author | : |
| Publisher | : |
| Total Pages | : 592 |
| Release | : 1918 |
| Genre | : Banks and banking |
| ISBN | : |
| Author | : |
| Publisher | : |
| Total Pages | : 792 |
| Release | : 1917 |
| Genre | : Banks and banking |
| ISBN | : |
| Author | : James C. Van Horne |
| Publisher | : Prentice Hall |
| Total Pages | : 324 |
| Release | : 1984 |
| Genre | : Business & Economics |
| ISBN | : |
This book explores the behavior of interest rates as they relate to changing market conditions, and examines how risk can be managed. It successfully bridges the gap between interest-rate theory and its application to fixed-income security portfolio management. Copyright © Libri GmbH. All rights reserved.
| Author | : Los Angeles County Dental Society |
| Publisher | : |
| Total Pages | : 982 |
| Release | : 1926 |
| Genre | : Dentistry |
| ISBN | : |
| Author | : Paul Auster |
| Publisher | : Faber & Faber |
| Total Pages | : 210 |
| Release | : 2010-11-25 |
| Genre | : Biography & Autobiography |
| ISBN | : 0571266746 |
'One day there is life . . . and then, suddenly, it happens there is death.' So begins Paul Auster's moving and personal meditation on fatherhood. The first section, 'Portrait of an Invisible Man', reveals Auster's memories and feelings after the death of his father. In 'The Book of Memory' the perspective shifts to Auster's role as a father. The narrator, 'A', contemplates his separation from his son, his dying grandfather and the solitary nature of writing and story-telling.
