LAUSR

Sovereign bond return prediction with realized higher moments

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0 Published in 2019 at "Journal of International Financial Markets, Institutions and Money"

DOI: 10.1016/j.intfin.2019.05.002

Abstract: Abstract This paper analyzes whether realized higher moments are able to predict out-of-sample sovereign bond returns using high-frequency data from the European bond market. We study bond return predictability over tranquil and crisis periods and… read more here.

Keywords: realized higher; bond; higher moments; sovereign bond ... See more keywords