The role of time-varying rare disaster risks in predicting bond returns and volatility
This paper aims to provide empirical evidence to the theoretical claim that rare disaster risks affect government bond market movements. Using a nonparametric quantiles-based methodology, we show that rare disaster-risks affect only volatility, but not returns, of 10-year government bond of the Unit...
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| Main Authors: | , , |
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| Format: | Default Article |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/37194 |
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