Do price jumps matter in volatility forecasts of US treasury futures?

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/126749

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題名:	Do price jumps matter in volatility forecasts of US treasury futures?
作者:	Zhang, Xueer;Hung, Jui-cheng;Chiu, Chien-liang
關鍵詞:	nonparametric jump tests;portfolio rebalancing;price jumps;treasury futures;volatility timing
日期:	2025-01-20
上傳時間:	2025-03-20 09:22:51 (UTC+8)
出版者:	Wiley
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.
關聯:	Journal of Futures Markets
DOI:	10.1002/fut.22567
顯示於類別:	[財務金融學系暨研究所] 期刊論文

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