Item Details

Print View

Realized Jumps on Financial Markets and Predicting Credit Spreads

George Tauchen and Hao Zhou
Format
Book; Government Document; Online; EBook
Published
Washington, D.C. : Federal Reserve Board, [2006]
Language
English
Series
Finance and Economics Discussion Series
Abstract
"This paper extends the jump detection method based on bi-power variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that jump parameters can be accurately estimated and that the statistical inferences can be reliable, assuming that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility has more forecasting power than interest rate factors and volatility factors including option-implied volatility, with control for systematic risk factors. A market jump risk factor seems to capture the low frequency movements in credit spreads."
Description
35 p. : ill. ; 28 cm.
Mode of access: Internet.
Notes
Includes bibliographical references.
Series Statement
Finance and economics discussion series ; 2006-35
Copyright Not EvaluatedCopyright Not Evaluated
Technical Details
  • Staff View

    LEADER 02144cam a22003497a 4500
    001 010695707
    003 MiAaHDL
    005 20110802000000.0
    006 m d
    007 cr bn ---auaua
    008 061207s2006 dcua b f000 0 eng d
    035
      
      
    a| sdr-coo5962271
    035
      
      
    a| (OCoLC)77481107
    040
      
      
    a| NIC c| NIC
    050
      
    4
    a| HG175 b| .F46 no.06-35
    100
    1
      
    a| Tauchen, George Eugene.
    245
    1
    0
    a| Realized jumps on financial markets and predicting credit spreads / c| George Tauchen and Hao Zhou.
    260
      
      
    a| Washington, D.C. : b| Federal Reserve Board, c| [2006]
    300
      
      
    a| 35 p. : b| ill. ; c| 28 cm.
    490
    0
      
    a| Finance and economics discussion series ; v| 2006-35
    504
      
      
    a| Includes bibliographical references.
    520
    3
      
    a| "This paper extends the jump detection method based on bi-power variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that jump parameters can be accurately estimated and that the statistical inferences can be reliable, assuming that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility has more forecasting power than interest rate factors and volatility factors including option-implied volatility, with control for systematic risk factors. A market jump risk factor seems to capture the low frequency movements in credit spreads."
    538
      
      
    a| Mode of access: Internet.
    653
      
      
    a| Jump-diffusion process a| Realized variance a| Bi-power variation a| Realized jumps a| Jump volatility a| Credit risk premium
    700
    0
      
    a| Zhou, Hao.
    974
      
      
    b| COO c| COO d| 20160821 s| google u| coo.31924104714377 y| 2006 r| pd q| bib
▾See more
▴See less

Access online

Google Preview

Google Books Preview