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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://www.econbiz.de/10012249767
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CDS-Bond Basis and Bond Return Predictability
Kim, Gi H. - 2019
We examine the predictive power of the CDS-bond basis for future corporate bond returns. We find that residual basis, the part of the CDS-bond basis that cannot be explained by a wide range of market frictions such as counterparty risk, funding risk, and liquidity risk, strongly negatively...
Persistent link: https://www.econbiz.de/10012905048
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The Empirics of Long-Term Mexican Government Bond Yields
Akram, Tanweer; Uddin, Syed Al-Helal - 2021
This paper presents empirical models of Mexican government bond (MGB) yields based on monthly macroeconomic data. The current short-term interest rate has a decisive influence on MGB yields, after controlling for inflation and growth in industrial production. John Maynard Keynes claimed that...
Persistent link: https://www.econbiz.de/10013239082
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The empirics of UK gilts' yields
Akram, Tanweer; Li, Huiqing - 2020
This paper analyzes the nominal yields of UK gilt-edged securities ("gilts") based on a Keynesian perspective, which holds that the short-term interest rate is the primary driver of the long-term interest rate. Quarterly data are used to model gilts' nominal yields. These models bring to light...
Persistent link: https://www.econbiz.de/10012291941
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State Dependence and the Term Structures of Risk Premia
Li, Tao; Xu, Jianfeng - 2022
We propose a class of time-separable and state-dependent preferences for asset pricing. In conjunction with the affine structure of the joint dynamics of state variables, aggregate consumption and dividend, an equilibrium model with these preferences yields closed-form solutions of bonds and...
Persistent link: https://www.econbiz.de/10013306448
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
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Regime switches in the risk-return trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance …
Persistent link: https://www.econbiz.de/10010225468
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A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns
Köksal, Bülent - 2009
We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...
Persistent link: https://www.econbiz.de/10013159436
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The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk
Bianchi, Stephen - 2019
In this article, the authors measure the impact of estimation error on latent factor model forecasts of portfolio risk … find that an estimation period of 250 days may be adequate to accurately forecast risk and factor exposures for an equally … an estimation period of 1000 days. This underscores the importance of testing risk models on optimized portfolios …
Persistent link: https://www.econbiz.de/10012903199
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Volatility Estimation and Jump Testing via Realized Information Variation
Liu, Weiyi - 2016
. We also extend our results to integrated quarticity and higher-order variation estimation, and then propose a new jump …, comparing with alternative methods. The simulations support our theoretical results on volatility estimation and demonstrate …
Persistent link: https://www.econbiz.de/10012986881