Bond risk premia and realized jump volatility
Author
Abstract
Suggested Citation
Download full text from publisher
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Corsi, Fulvio & Pirino, Davide & RenĂ², Roberto, 2010.
"Threshold bipower variation and the impact of jumps on volatility forecasting,"
Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
- Fulvio Corsi & Davide Pirino & Roberto Reno', 2010. "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting," LEM Papers Series 2010/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Fulvio Corsi & Davide Pirino & Roberto RenĂ², 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Post-Print hal-00741630, HAL.
- Todorov, Viktor & Bollerslev, Tim, 2010.
"Jumps and betas: A new framework for disentangling and estimating systematic risks,"
Journal of Econometrics, Elsevier, vol. 157(2), pages 220-235, August.
- Viktor Todorov & Tim Bollerslev, 2007. "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers 2007-15, Department of Economics and Business Economics, Aarhus University.
- repec:hal:journl:peer-00741630 is not listed on IDEAS
More about this item
Keywords
Bonds; Risk; bond markets;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2007-06-23 (Market Microstructure)
- NEP-RMG-2007-06-23 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedgfe:2007-22. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ryan Wolfslayer ; Keisha Fournillier (email available below). General contact details of provider: https://edirc.repec.org/data/frbgvus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.