Volatility and Jump Risk Premia in Emerging Market Bonds
Language: en
Pages: 32
Authors: John Matovu
Categories: Business & Economics
Type: BOOK - Published: 2007-07 - Publisher: International Monetary Fund

GET EBOOK

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps
Identifying Volatility Risk Premia from Fixed Income Asian Options
Language: en
Pages: 43
Authors: Caio Almeida
Categories:
Type: BOOK - Published: 2018 - Publisher:

GET EBOOK

Fixed income Asian options are frequently adopted by companies to hedge interest rate risk. Having a payoff structure depending on the cumulative short-term rat
Bond Risk Premia and Realized Jump Volatility
Language: en
Pages: 64
Authors: Jonathan H. Wright
Categories: Bonds
Type: BOOK - Published: 2007 - Publisher:

GET EBOOK

Sources of Time Varying Risk and Risk Premia in U.S. Stock and Bond Markets
Language: en
Pages: 48
Authors: Bala Arshanapalli
Categories:
Type: BOOK - Published: 2003 - Publisher:

GET EBOOK

This paper investigates the sources of time-varying risk and risk premia for both the U.S. stock and bond markets. Although a growing literature has emerged tha
Bond Risk Premia and Realized Jump Risk
Language: en
Pages: 33
Authors: Jonathan H. Wright
Categories:
Type: BOOK - Published: 2009 - Publisher:

GET EBOOK

We find that augmenting a regression of excess bond returns on the term structure of forward rates with an estimate of the mean realized jump size almost double