{"title":"Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns","authors":"Belén Nieto, A. Novales, Gonzalo Rubio","doi":"10.1142/S2010139215500214","DOIUrl":null,"url":null,"abstract":"In this paper, we address the issue of how macroeconomic conditions affect corporate bond volatility. We employ the GARCH-MIDAS 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.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":"12 1","pages":"1-41"},"PeriodicalIF":0.9000,"publicationDate":"2015-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"13","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quarterly Journal of Finance","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1142/S2010139215500214","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 13
Abstract
In this paper, we address the issue of how macroeconomic conditions affect corporate bond volatility. We employ the GARCH-MIDAS 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.
IF 6.3 4区 医学Systematic ReviewsPub Date : 2022-10-26DOI: 10.1186/s13643-022-02099-9
Alexandria Bennett, Andrew Beck, Nicole Shaver, Roland Grad, Allana LeBlanc, Heather Limburg, Casey Gray, Ahmed Abou-Setta, Scott Klarenbach, Navindra Persaud, Guylène Thériault, Brett D Thombs, Keith J Todd, Neil Bell, Philipp Dahm, Andrew Loblaw, Lisa Del Giudice, Xiaomei Yao, Becky Skidmore, Elizabeth Rolland-Harris, Melissa Brouwers, Julian Little, David Moher
IF 0 medRxiv - OncologyPub Date : 2024-05-31DOI: 10.1101/2024.05.29.24308154
Alexandria Bennett, Nicole Shaver, Niyati Vyas, Faris Almoli, Robert Pap, Andrea Douglas, Taddele Kibret, Becky Skidmore, Martin Yaffe, Anna Wilkinson, Jean M. Seely, Julian Little, David Moher
期刊介绍:
The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.