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ECONIS (ZBW)
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Forecasting sovereign bond realized volatility using time-varying coefficients model
Malinska, Barbora
-
2021
higher-order
realized
moments
and allow all model coefficients to be time-varying in order to explore dynamics in forecasting …
Persistent link: https://www.econbiz.de/10012542381
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2
Time-varying pricing of risk in sovereign bond futures returns
Malinska, Barbora
-
2020
We examine time-varying explanatory power of
realized
moments
on subsequent bond futures excess returns using more than …
Persistent link: https://www.econbiz.de/10012181035
Saved in:
3
Realized
moments
and bond pricing
Malinska, Barbora
-
2019
realized
moments
- realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized …
Persistent link: https://www.econbiz.de/10012010467
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