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Excess volatility : beyond discount rates

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Does realized volatility help bond yield density prediction?

Shin, Minchul; Zhong, Molin - 2015 - This version: September 19, 2015

forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor …We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density … models with stochastic volatility. The resulting model parameter estimates are highly efficient, which one hopes would …

Persistent link: https://www.econbiz.de/10011499535