Do price jumps matter in volatility forecasts of US treasury futures?
Xueer Zhang, Jui-Cheng Hung, Chien-Liang Chiu
| Year of publication: |
2025
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|---|---|
| Authors: | Zhang, Xueer ; Hung, Jui-Cheng ; Chiu, Chien-Liang |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 45.2025, 4, p. 326-342
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| Subject: | nonparametric jump tests | portfolio rebalancing | price jumps | treasury futures | volatility timing | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Derivat | Derivative | USA | United States | Staatspapier | Government securities | Nichtparametrisches Verfahren | Nonparametric statistics | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market | Schätzung | Estimation | Öffentliche Anleihe | Public bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22567 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015376629