Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/203230
Authors: 
Malinska, Barbora
Year of Publication: 
2019
Series/Report no.: 
IES Working Paper 11/2019
Abstract: 
This paper examines both intertemporal and contemporaneous relationship between excess US Treasury futures returns and realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized kurtosis remain insignificant. Moreover, in addition to strong explanatory power of realized skewness for contemporaneous excess returns, we find evidence of intra-temporal returnvolatility trade-off dependent on skewness regime (i.e. positive or negative skewness).
Subjects: 
Realized moments
bond pricing
risk-return trade-off
high-frequency data
JEL: 
C32
C55
G12
Document Type: 
Working Paper
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