Bond Risk Premia and Realized Jump Volatility

Bond Risk Premia and Realized Jump Volatility
Author: Jonathan H. Wright
Publisher:
Total Pages: 64
Release: 2007
Genre: Bonds
ISBN:


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Bond Risk Premia and Realized Jump Volatility
Language: en
Pages: 64
Authors: Jonathan H. Wright
Categories: Bonds
Type: BOOK - Published: 2007 - Publisher:

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Bond Risk Premia and Realized Jump Risk
Language: en
Pages: 33
Authors: Jonathan H. Wright
Categories:
Type: BOOK - Published: 2009 - Publisher:

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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
Handbook of Financial Time Series
Language: en
Pages: 1045
Authors: Torben Gustav Andersen
Categories: Business & Economics
Type: BOOK - Published: 2009-04-21 - Publisher: Springer Science & Business Media

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The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical poin
Jumps in Bond Yields at Known Times
Language: en
Pages: 33
Authors: Don H. Kim
Categories: Bonds
Type: BOOK - Published: 2014 - Publisher:

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We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are all
Credit Risk Modeling
Language: en
Pages: 328
Authors: David Lando
Categories: Business & Economics
Type: BOOK - Published: 2009-12-13 - Publisher: Princeton University Press

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Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an u