期刊論文
| 學年 | 113 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2025-01-20 |
| 作品名稱 | Do price jumps matter in volatility forecasts of US treasury futures? |
| 作品名稱（其他語言） | |
| 著者 | Zhang, Xueer; Hung, Jui-cheng; Chiu, Chien-liang |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Journal of Futures Markets |
| 摘要 | This study investigates volatility forecasts in the US Treasury futures market and emphasizes the importance of price jumps across various maturities under moderate and sharp interest rate rising scenarios. We assess out-of-sample forecasting performance not only with statistical method but economic method based on a volatility timing strategy. Our findings indicate that models including price jumps specifications exhibit substantial enhancements in both evaluation methods over the entire out-of-sample period, particular for the period of sharp interest rate rising. Our results are robust to nonparametric jump tests used in this study, transaction costs, and portfolio rebalancing method. |
| 關鍵字 | nonparametric jump tests;portfolio rebalancing;price jumps;treasury futures;volatility timing |
| 語言 | zh_TW |
| ISSN | 1096-9934 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI NotTSSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/126749 ) |