12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized …We examine time-varying explanatory power of realized moments on subsequent bond futures excess returns using more than … traditional bond return predictors such as term or default spreads. Most importantly, we reveal the bond excess return …

realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized … skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized …

12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized …We examine time-varying explanatory power of realized moments on subsequent bond futures excess returns using more than … traditional bond return predictors such as term or default spreads. Most importantly, we reveal the bond excess return …

innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond … predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is …

innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond … predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is …

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …

by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …