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Título:
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Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
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Autores:
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Nieto, Belén ;
Novales Cinca, Alfonso ;
Rubio, Gonzalo
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Tipo de documento:
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texto impreso
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Fecha de publicación:
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2014-07
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc_sa
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = No publicado
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Materia = Ciencias Sociales: Economía: Econometría
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Materia = Ciencias Sociales: Economía: Finanzas
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Materia = Ciencias Sociales: Economía: Macroeconomía
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic and financial indicators may improve the fit of the model to actual bond return data, relative to the constant long-run component embedded in a typical GARCH model.
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En línea:
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https://eprints.ucm.es/id/eprint/26436/1/1425.pdf
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