File(s) under embargo

Reason: Publisher requirement

54

days

7

hours

until file(s) become available

The role of time-varying rare disaster risks in predicting bond returns and volatility

journal contribution
posted on 15.03.2019 by Rangan Gupta, Tahir Suleman, Mark Wohar
This paper aims to provide empirical evidence to the theoretical claim that rare disaster risks affect government bond market movements. Using a nonparametric quantiles-based methodology, we show that rare disaster-risks affect only volatility, but not returns, of 10-year government bond of the United States over the monthly period of 1918:01 to 2013:12. In addition, the predictability of volatility holds for the majority of the conditional distribution of the volatility, with the exception of the extreme ends. Moreover, in general, similar results are also obtained for long-term government bonds of an alternative developed country (UK) and an emerging market (South Africa).

History

School

  • Business and Economics

Department

  • Business

Published in

Review of Financial Economics

Volume

37

Issue

3

Pages

327-340

Citation

GUPTA, R., SULEMAN, T. and WOHAR, M.E., 2018. The role of time-varying rare disaster risks in predicting bond returns and volatility. Review of Financial Economics, 37(3), pp.327-340.

Publisher

Wiley © The University of New Orleans

Version

AM (Accepted Manuscript)

Publisher statement

This is the peer reviewed version of the following article: GUPTA, R., SULEMAN, T. and WOHAR, M.E., 2018. The role of time-varying rare disaster risks in predicting bond returns and volatility. Review of Financial Economics, 37(3), pp.327-340, which has been published in final form at https://doi.org/10.1002/rfe.1051. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions

Acceptance date

14/09/2018

Publication date

2018-11-23

Copyright date

2019

ISSN

1058-3300

Language

en

Exports

Logo branding

Exports