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 …

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 …

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 …