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題名 Realized Jump Risks in the U.S. TB and TIPS Markets
作者 林士貴
Lin, Shih-Kuei
Chuang, Ming-Che
Shyu, So-De
Wu, An-Chi
貢獻者 金融系
關鍵詞 Realized variation ; bi-power variation; CAPM with jump risk; systematic jump risks; high-frequency data
日期 2017-06
上傳時間 15-Mar-2019 11:45:59 (UTC+8)
摘要 This paper discusses the jump risks for the Treasury bond futures, Treasury bonds (TB), and individual Treasury inflation-protected securities (TIPS). Using the 1-minute high- frequency data, the jump variations contribute more than half to the total variations during January 2003 to May 2014. During the financial crisis, the jump frequency and absolute jump amplitude are higher than normality. Interestingly, in the higher volatility status, the jump frequency is more than the lower volatility state. But, the jump amplitude in the higher volatility state is lower than the lower volatility state, it may be caused by persistent trading for the investors` anticipations. Moreover, we also use the daily rate of return for each TB and TIPS to investigate systematic jump risks. On average, the market participants who hold the long-term TB and TIPS face the systematic jump risks. The investors and the issuers must require the jump risk premium against the mispricing.
關聯 International Journal of Information and Management Sciences, Vol.28, No.2, pp.133-152
資料類型 article
DOI http://dx.doi.org/10.6186/IJIMS.2017.28.2.5
dc.contributor 金融系
dc.creator (作者) 林士貴
dc.creator (作者) Lin, Shih-Kuei
dc.creator (作者) Chuang, Ming-Che
dc.creator (作者) Shyu, So-De
dc.creator (作者) Wu, An-Chi
dc.date (日期) 2017-06
dc.date.accessioned 15-Mar-2019 11:45:59 (UTC+8)-
dc.date.available 15-Mar-2019 11:45:59 (UTC+8)-
dc.date.issued (上傳時間) 15-Mar-2019 11:45:59 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/122588-
dc.description.abstract (摘要) This paper discusses the jump risks for the Treasury bond futures, Treasury bonds (TB), and individual Treasury inflation-protected securities (TIPS). Using the 1-minute high- frequency data, the jump variations contribute more than half to the total variations during January 2003 to May 2014. During the financial crisis, the jump frequency and absolute jump amplitude are higher than normality. Interestingly, in the higher volatility status, the jump frequency is more than the lower volatility state. But, the jump amplitude in the higher volatility state is lower than the lower volatility state, it may be caused by persistent trading for the investors` anticipations. Moreover, we also use the daily rate of return for each TB and TIPS to investigate systematic jump risks. On average, the market participants who hold the long-term TB and TIPS face the systematic jump risks. The investors and the issuers must require the jump risk premium against the mispricing.
dc.format.extent 406477 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) International Journal of Information and Management Sciences, Vol.28, No.2, pp.133-152
dc.subject (關鍵詞) Realized variation ; bi-power variation; CAPM with jump risk; systematic jump risks; high-frequency data
dc.title (題名) Realized Jump Risks in the U.S. TB and TIPS Markets
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.6186/IJIMS.2017.28.2.5
dc.doi.uri (DOI) http://dx.doi.org/10.6186/IJIMS.2017.28.2.5