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Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

机译:债券在美国国库券市场中具有波动性风险吗?仿射词结构模型的规范测试

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摘要

We propose using model-free yield quadratic variation measures computed from in-traday data as a tool for specification testing and selection of dynamic term structure models. We find that the yield curve fails to span realized yield volatility in the U.S. Treasury market, as the systematic volatility factors are largely unrelated to the cross-section of yields. We conclude that a broad class of affine diffusive, quadratic Gaussian, and affine jump-diffusive models cannot accommodate the observed yield volatility dynamics. Hence, the Treasury market per se is incomplete, as yield volatility risk cannot be hedged solely through Treasury securities.
机译:我们建议使用从日内数据计算出的无模型收益率二次方差度量作为规格测试和动态期限结构模型选择的工具。我们发现收益率曲线无法涵盖美国国债市场中已实现的收益率波动性,因为系统的波动性因素在很大程度上与收益率的横截面无关。我们得出的结论是,一类广泛的仿射扩散,二次高斯和仿射跳跃扩散模型无法适应观察到的收益率波动动态。因此,国债市场本身是不完整的,因为收益率波动风险不能仅通过国债进行对冲。

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  • 来源
    《Journal of Finance》 |2010年第2期|603-653|共51页
  • 作者单位

    Kellogg School of Management, Northwestern University, NBER Center for Research in Econometric Analysis of Time Series (CREATES);

    Federal Reserve Bank of Chicago;

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  • 正文语种 eng
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