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Download fileThe role of time-varying rare disaster risks in predicting bond returns and volatility
journal contribution
posted on 2019-03-15, 10:53 authored by Rangan Gupta, Tahir Suleman, Mark WoharThis 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 EconomicsVolume
37Issue
3Pages
327-340Citation
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 OrleansVersion
- 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 VersionsAcceptance date
2018-09-14Publication date
2018-11-23Copyright date
2019ISSN
1058-3300Publisher version
Language
- en