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    题名: 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
    贡献者: 金融系
    关键词: Realized variation ; bi-power variation; CAPM with jump risk; systematic jump risks; high-frequency data
    日期: 2017-06
    上传时间: 2019-03-15 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
    数据类型: article
    DOI 連結: http://dx.doi.org/10.6186/IJIMS.2017.28.2.5
    DOI: 10.6186/IJIMS.2017.28.2.5
    显示于类别:[金融學系] 期刊論文

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