Volatility and jump risk premia in emerging market bonds /

Volatility and jump risk premia in emerging market bonds /

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Bibliographic Details
Author / Creator:	Matovu, John, author.
Imprint:	[Washington, D.C.] : International Monetary Fund, Middle East and Central Asia Dept., ©2007.
Description:	1 online resource (25 pages) : illustrations
Language:	English
Series:	IMF working paper, 2227-8885 ; WP/07/172 IMF working paper ; WP/07/172.
Subject:	Interest rates -- Econometric models. Risk -- Econometric models. Jump processes -- Econometric models. Bonds -- Econometric models. Bonds -- Econometric models. Interest rates -- Econometric models. Risk -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12496300

Hidden Bibliographic Details
Other authors / contributors:	International Monetary Fund. Middle East and Central Asia Department.
ISBN:	1283513692 9781283513692 1451911890 9781451911893 1462379036 9781462379033 1452783411 9781452783413 9786613826145 6613826146
Notes:	Includes bibliographical references (pages 16-18). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 English. digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
Summary:	There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of jump-diffusion models that are successful in approximating the term structure of interest rates of emerging markets. The parameters of the term structure of interest rates are reconciled with the associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and unanticipated jumps cannot generate the non-normalities consistent with the observed interest rates. Jumps occur (8,10) times a year in Argentina and Brazil, respectively. The size and variance of these jumps is also of statistical significance.
Other form:	Print version: Matovu, John. Volatility and jump risk premia in emerging market bonds. [Washington, D.C.] : International Monetary Fund, Middle East and Central Asia Dept., ©2007
Standard no.:	10.5089/9781451911893.001