Realized moments and bond pricing

Arbeitspapier

This paper examines both intertemporal and contemporaneous relationship between excess US Treasury futures returns and 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 kurtosis remain insignificant. Moreover, in addition to strong explanatory power of realized skewness for contemporaneous excess returns, we find evidence of intra-temporal returnvolatility trade-off dependent on skewness regime (i.e. positive or negative skewness).

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IES Working Paper ; No. 11/2019

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Large Data Sets: Modeling and Analysis ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: Realized moments ; bond pricing ; risk-return trade-off ; high-frequency data

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Malinska, Barbora
• Event: Veröffentlichung
• (who): Charles University in Prague, Institute of Economic Studies (IES)
• (where): Prague
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/203230
• Last update: 10.03.2025, 11:43 AM CET