Volatility and Jump Risk Premia in Emerging Market Bonds /
There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of jump-di...
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | دورية |
| اللغة: | English |
| منشور في: |
Washington, D.C. :
International Monetary Fund,
2007.
|
| سلاسل: | IMF Working Papers; Working Paper ;
No. 2007/172 |
| الوصول للمادة أونلاين: | Full text available on IMF |