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  1. Do bonds span volatility risk in the US Treasury market?
    a specification test for affine term structure models
    Erschienen: Dec. 2006
    Verlag:  Federal Reserve Bank of Chicago, Chicago, Ill.

    "We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    W 88 (2006.15)
    Fernleihe:
    keine Fernleihe

     

    "We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed- maturity zero-coupon bonds ('realized yield volatility') through the use of high-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the cross- section of yields. We conclude that a broad class of affine diffusive, Gaussian-quadratic and affine jump-diffusive models is incapable of accommodating the observed yield volatility dynamics. An important implication is that the bond markets per se are incomplete and yield volatility risk cannot be hedged by taking positions solely in the Treasury bond market. We also advocate using the empirical realized yield volatility measures more broadly as a basis for specification testing and (parametric) model selection within the term structure literature"--Federal Reserve Bank of Chicago web site

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working papers / Federal Reserve Bank of Chicago ; 2006-15
    Schlagworte: Staatspapier; Risiko; Volatilität; Zinsstruktur; Modellierung; USA; Government securities
    Umfang: Online-Ressource, 57 S., Text, graph. Darst.
  2. European government bond markets
    transparency, liquidity, efficiency
    Autor*in: Dunne, Peter G.; Moore, Michael J.; Portes, Richard
    Erschienen: 2006
    Verlag:  Centre for Economic Policy Research, London

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    Keine Speicherung
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schlagworte: Government securities; Bond market
    Umfang: Online-Ressource (III, 85 S.)