Time-varying pricing of risk in sovereign bond futures returns

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F22%3A10434790" target="_blank" >RIV/00216208:11230/22:10434790 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=I3-OrvYmVf" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=I3-OrvYmVf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2021.102531" target="_blank" >10.1016/j.frl.2021.102531</a>

Result language
angličtina
Original language name
Time-varying pricing of risk in sovereign bond futures returns
Original language description
We examine time-varying pricing of risk in bond futures excess returns. We provide evidence that the predictability is significantly dynamic and increases during crisis period. We detect realized volatility and realized kurtosis to carry valuable information for returns on the U.S. market which is not priced in traditional predictors. Whereas the realized volatility reveals to have negative effect on next-day excess returns, effect of realized kurtosis is switching from positive effect in crisis to negative values in calm periods.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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