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Wright, Jonathan H.; Zhou, Hao - 2022

We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling … estimate of the mean realized jump size - identified from high-frequency bond returns using the bi-power variation technique … the conditional distribution of excess bond returns is affected by a state variable that does not lie in the span of the …

Persistent link: https://www.econbiz.de/10014236286

Bond risk premia and realized jump volatility

Wright, Jonathan H.; Zhou, Hao - 2007

Persistent link: https://www.econbiz.de/10003827125

Bond risk premia and realized jump risk

Wright, Jonathan H.; Zhou, Hao - In: Journal of banking & finance 33 (2009) 12, pp. 2333-2345

Persistent link: https://www.econbiz.de/10003905578

Forecasting Interest Rates with Shifting Endpoints

van Dijk, Dick; Koopman, Siem Jan; van der Wel, Michel; … - 2012

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields as being stationary, without any shifting...

Persistent link: https://www.econbiz.de/10010326362