We find that adding a measure of market jump volatility risk to a regression of excess bond returns on the term … structure of forward rates nearly doubles the R square of the regression. Our market jump volatility measure is based on the … choice of different window sizes in computing the jump volatility. This market jump volatility factor also crowds out the …

certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility … with market microstructure noise. Using volatility signature plots and a recently-proposed formal decision rule to select … contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days without U …

: unanticipated order flow has a significant and permanent impact on daily bond yield changes during both announcement and non … flow and yield changes is higher when the dispersion of beliefs among market participants is high and public announcements …

.S. investors. Results based on a three-moment CAPM indicate, however, that it is diversifiable idiosyncratic risk that U …

indexed bonds are available, indexation strengthens the precautionary savings motive, increases consumption volatility and … threshold degree of indexation depends on the volatility and persistence of income shocks as well as on the relative openness of …