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 …

12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized …We examine time-varying explanatory power of realized moments on subsequent bond futures excess returns using more than … traditional bond return predictors such as term or default spreads. Most importantly, we reveal the bond excess return …

futures prices did not respond to movements in bond prices. All adjustment towards equilibrium took place in the spot market. …

crises, liquidity variables have a negative influence on the volatility, in contrast to the time period after the outbrake of …

second simple component to account for the remaining contribution to the volatility. This allows the analytical calculation …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …