Realized Moments and Bond Pricing

Barbora Malinska ()
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Barbora Malinska: Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nabrezi 6, 111 01 Prague 1, Czech Republic

No 2019/11, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: This paper examines both intertemporal and contemporaneous relationship between excess US Treasury futures returns and realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized kurtosis remain insignificant. Moreover, in addition to strong explanatory power of realized skewness for contemporaneous excess returns, we find evidence of intra-temporal returnvolatility trade-off dependent on skewness regime (i.e. positive or negative skewness).

Keywords: Realized moments; bond pricing; risk-return trade-off; high-frequency data (search for similar items in EconPapers)
JEL-codes: C32 C55 G12 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2019-05, Revised 2019-05
New Economics Papers: this item is included in nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:fau:wpaper:wp2019_11

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