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  1. Time variation in the tail behaviour of bund futures returns
    Author: Werner, Thomas; Upper, Christian
    Published: 2002
    Publisher:  Dt. Bundesbank, Press and Public Relations Div., Frankfurt am Main

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  2. Time variation in the tail behaviour of bund futures returns
    Author: Werner, Thomas; Upper, Christian
    Published: 2002
    Publisher:  Europ. Central Bank, Frankfurt am Main

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  3. Time variation in the tail behaviour of Bund futures returns
    Author: Werner, Thomas; Upper, Christian
    Published: 2002
    Publisher:  Dt. Bundesbank, Frankfurt am Main

    The literature on the tail behaviour of asset prices focuses mainly on the foreign exchange and stock markets, with only a few papers dealing with bonds or bond futures. The present paper addresses this omission. We focus on three questions: (i) Are... more

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    The literature on the tail behaviour of asset prices focuses mainly on the foreign exchange and stock markets, with only a few papers dealing with bonds or bond futures. The present paper addresses this omission. We focus on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add value in addition to classical indicators? The answers to these questions are (i) yes, (ii) no, and (iii) yes. We find significant heaviness of the tails of the Bund future returns. The tail index is on average around 3, implying the nonexistence of the forth moments. With the aid of a recently developed test for changes in the tail behaviour we identify several breaks in the degree of heaviness of the return tails. Interestingly, the tails of the return distribution do not move in parallel to realised volatility. This suggests that the tails of futures returns contain information for risk management that complements those gained from more standard statistical measures.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 3935821344
    RVK Categories: QB 910 ; QK 660
    Series: Discussion paper / Economic Research Centre of the Deutsche Bundesbank ; 2002,25
    Subjects: Zinsderivat; Börsenkurs; Rendite; Risikoprämie; Index; Öffentliche Anleihe; Schätzung; Deutschland; Statistische Verteilung
    Scope: 33 S, graph. Darst, b
    Notes:

    Literaturverz. S. 25 - 27
  4. Time variation in the tail behaviour of bund futures returns
    Author: Werner, Thomas
    Published: 2002
    Publisher:  European Central Bank, Frankfurt am Main

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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QM 430
    Series: Working paper / European Central Bank ; 199
    Subjects: Zinsderivat; Börsenkurs; Rendite; Risikoprämie; Index; Öffentliche Anleihe; Schätzung; Deutschland; Statistische Verteilung
    Scope: 35 S.
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  5. Time variation in the tail behaviour of bund futures returns
    Author: Werner, Thomas
    Published: 2002
    Publisher:  European Central Bank, Frankfurt am Main

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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QM 430
    Series: Working paper / European Central Bank ; 199
    Subjects: Zinsderivat; Börsenkurs; Rendite; Risikoprämie; Index; Öffentliche Anleihe; Schätzung; Deutschland; Statistische Verteilung
    Scope: 35 S.
    Notes:
  6. Time variation in the tail behaviour of Bund futures returns
    Author: Werner, Thomas; Upper, Christian
    Published: October 2002
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    The literature on the tail behaviour of asset prices focuses mainly on the foreign exchange and stock markets, with only a few papers dealing with bonds or bond futures. The present paper addresses this omission. We focus on three questions: (i) Are... more

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    The literature on the tail behaviour of asset prices focuses mainly on the foreign exchange and stock markets, with only a few papers dealing with bonds or bond futures. The present paper addresses this omission. We focus on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add value in addition to classical indicators? The answers to these questions are (i) yes, (ii) no, and (iii) yes. We find significant heaviness of the tails of the Bund future returns. The tail index is on average around 3, implying the nonexistence of the forth moments. With the aid of a recently developed test for changes in the tail behaviour we identify several breaks in the degree of heaviness of the return tails. Interestingly, the tails of the return distribution do not move in parallel to realised volatility. This suggests that the tails of futures returns contain information for risk management that complements those gained from more standard statistical measures. Die Literatur über Extreme der Renditeverteilung hat sich bisher überwiegend mit Wechselkursen und Aktienkursen befasst. Die Kurse von Rentenwerten oder Terminkontrakten auf Rentenwerte haben hingegen bisher kaum Beachtung erfahren. Das vorliegende Arbeitspapier versucht diese Lücke zu schließen. Unser Augenmerk gilt dabei insbesondere drei Fragen: (i) Haben die Renditeverteilungen von Terminkontrakten auf Bundeswertpapiere "fat tails"? (ii) Ist die Wahrscheinlichkeit extremer Kursbewegungen im Zeitablauf konstant? (iii) Kann ein Tail-Index Informationen uber den Grad von Marktunsicherheit liefern, die klassische Indikatoren wie die Volatilität nicht liefern können? Die Antworten zu diesen drei Fragen sind (i) ja, (ii) nein und (iii) ja. Wir finden ein signifikantes "fat tails" Phänomen in der Renditeverteilung von BUND Future Kontrakten. Ein Tail-Index von circa 3 impliziert, dass das vierte und alle höheren Momente der Verteilung nicht existieren. Mit Hilfe kürzlich entwickelter Tests finden wir Brüche der Tail-Stärke der Renditeverteilungen. Interessanterweise bewegt sich der Tail-Index nicht immer in die gleiche Richtung wie die Volatilität. Dies lässt vermuten, dass die Betrachtung der Tails dem Risikomanagement Informationen liefert, die mit herkömmlichen Verfahren nicht gewonnen werden konnen.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/19582
    RVK Categories: QB 910 ; QK 660
    Series: Discussion paper / Economic Research Centre of the Deutsche Bundesbank ; 02/25
    Subjects: Zinsderivat; Börsenkurs; Rendite; Risikoprämie; Index; Öffentliche Anleihe; Schätzung; Deutschland; Statistische Verteilung
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen