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...
| Egile nagusia: | |
|---|---|
| Formatua: | Aldizkaria |
| Hizkuntza: | English |
| Argitaratua: |
Washington, D.C. :
International Monetary Fund,
2007.
|
| Saila: | IMF Working Papers; Working Paper ;
No. 2007/172 |
| Sarrera elektronikoa: | Full text available on IMF |