Sovereign bond return prediction with realized higher moments
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|Title:||Sovereign bond return prediction with realized higher moments||Authors:||Kinateder, Harald; Papavassiliou, Vassilios G.||Permanent link:||http://hdl.handle.net/10197/11286||Date:||Sep-2019||Online since:||2020-02-25T16:35:40Z||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 across core and periphery markets at the index and country level. We provide fresh evidence that realized kurtosis is the dominant predictor of subsequent returns among higher moments and other predictors such as CDS spreads, short-term interest rates and implied stock market volatility. Our findings further underline that sovereign bond return predictability is stronger during crisis periods and more pronounced for bonds of lower credit ratings.||Funding Details:||University College Dublin||Type of material:||Journal Article||Publisher:||Elsevier||Journal:||Journal of International Financial Markets, Institutions and Money||Volume:||62||Start page:||53||End page:||73||Copyright (published version):||2019 Elsevier||Keywords:||Sovereign bond markets; High-frequency data; Realized higher moments; Hyper-skewness; Hyper-kurtosis; Out-of-sample prediction; Liquidity risk; Skewness preference; Stock returns; Volatility||DOI:||10.1016/j.intfin.2019.05.002||Language:||en||Status of Item:||Peer reviewed|
|Appears in Collections:||Business Research Collection|
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