We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk …

bond and global emerging market indices returns dynamics. The study, with a time period ranging from 2017 to 2020, applies … market index and Sukuk bond price returns, except the one. There is no impact of the financial uncertainty indicator … causal impact among the global emerging and Sukuk bond markets will help formulate future trading strategies in particular to …

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 … traditional bond return predictors such as term or default spreads. Most importantly, we reveal the bond excess return …