Bond risk premia and realized jump risk
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 doubles the R2 of the …
rates with an estimate of the mean realized jump size almost doubles the R2 of the …
[引用][C] Bond risk premia and realized jump risk.
JH Wright, H Zhou - Journal of banking and finance, 2009 - dialnet.unirioja.es
[PDF][PDF] Bond Risk Premia and Realized Jump Risk
JH Wright, H Zhou - Available at SSRN 1319126, 2008 - papers.ssrn.com
We find that augmenting a regression of excess bond returns on the term structure of forward
rates with a rolling estimate of the mean realized jump size-identified from high-frequency …
rates with a rolling estimate of the mean realized jump size-identified from high-frequency …
Bond risk premia and realized jump risk
JH Wright, H Zhou - Journal of Banking & Finance, 2009 - ideas.repec.org
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 doubles the R2 of the …
rates with an estimate of the mean realized jump size almost doubles the R2 of the …
[PDF][PDF] Bond Risk Premia and Realized Jump Risk
J Wright, H Zhou - scholar.archive.org
We find that augmenting a regression of excess bond returns on the term structure of forward
rates with a rolling estimate of the mean realized jump size—identified from high-frequency …
rates with a rolling estimate of the mean realized jump size—identified from high-frequency …
Bond risk premia and realized jump risk
J Wright, H Zhou - Journal of Banking & Finance, 2009 - econpapers.repec.org
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 doubles the R2 of the …
rates with an estimate of the mean realized jump size almost doubles the R2 of the …
Bond risk premia and realized jump risk
JH Wright, H Zhou - Journal of Banking and Finance, 2009 - infona.pl
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 doubles the R2 of the …
rates with an estimate of the mean realized jump size almost doubles the R2 of the …
Bond Risk Premia and Realized Jump Risk
JH Wright, H Zhou - Journal of Banking and Finance, Forthcoming …, 2009 - papers.ssrn.com
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 doubles the R2 of the …
rates with an estimate of the mean realized jump size almost doubles the R2 of the …
Bond risk premia and realized jump risk
JH Wright, H Zhou - Journal of Banking and Finance, 2009 - infona.pl
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 doubles the R2 of the …
rates with an estimate of the mean realized jump size almost doubles the R2 of the …