This paper examines both intertemporal and contemporaneous relationship between excess US Treasury futures returns and realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized skewness to have significant negative effect on...

We examine time-varying explanatory power of realized moments on subsequent bond futures excess returns using more than 12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized kurtosis to carry valuable information for next-day...

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...