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Realized Moments and Bond Pricing

Author

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  • Barbora Malinska

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nabrezi 6, 111 01 Prague 1, Czech Republic)

Abstract

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).

Suggested Citation

  • Barbora Malinska, 2019. "Realized Moments and Bond Pricing," Working Papers IES 2019/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2019.
    • Handle: RePEc:fau:wpaper:wp2019_11
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    File URL: http://ies.fsv.cuni.cz/sci/publication/show/id/6034/lang/cs
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    More about this item

    Keywords

    Realized moments; bond pricing; risk-return trade-off; high-frequency data;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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