Andersen, Torben (contributor); Benzoni, Luca (contributor) - 2006
"We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term … cross-section of fixed- maturity zero-coupon bonds ('realized yield volatility') through the use of high-frequency data. We … find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the …
