We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density … forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor … translate into superior predictive performance. We explore this conjecture in the context of density prediction of U.S. bond …

This paper investigates whether ETF returns lead the returns of underlying bonds and similar style bond funds. Bond … predicted, we find that ETF returns predict its own NAV returns and aggregated ETF returns for each bond also predict the … underlying bond returns on a monthly basis. We show that bond liquidity is the determining factor of the predictability and the …

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 …, including credit risk and liquidity risk, we find that a bond portfolio formed on the residual basis generates a significant …

This paper examines the importance of realized volatility in bond yield density prediction. We incorporate realized … volatility into a Dynamic Nelson-Siegel (DNS) model with stochastic volatility and evaluate its predictive performance on US bond …

We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density … forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor … translate into superior predictive performance. We explore this conjecture in the context of density prediction of U.S. bond …