Publication detail

Realized Moments and Bond Pricing

Author(s): Mgr. Barbora Malinská ,
Type: IES Working Papers
Year: 2019
Number: 11
ISSN / ISBN:
Published in: IES Working Papers 11/2019
Publishing place: Prague
Keywords: Realized moments, bond pricing, risk-return trade-off, high-frequency data
JEL codes: C32, C55, G12
Suggested Citation: Malinska B. (2019): "Realized Moments and Bond Pricing" IES Working Papers 11/2019. IES FSV. Charles University.
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).
Downloadable: wp_2019_11_malinska

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