| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12962 |
| 来源ID | Working Paper 12962 |
| Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models | |
| Torben G. Andersen; Luca Benzoni | |
| 发表日期 | 2007-03-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds ("realized yield volatility") through the use of high-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the cross-section of yields. We conclude that a broad class of affine diffusive, Gaussian-quadratic and affine jump-diffusive models is incapable of accommodating the observed yield volatility dynamics. An important implication is that the bond markets per se are incomplete and yield volatility risk cannot be hedged by taking positions solely in the Treasury bond market. We also advocate using the empirical realized yield volatility measures more broadly as a basis for specification testing and (parametric) model selection within the term structure literature. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12962 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570628 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Luca Benzoni. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12962.pdf（576KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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