Modeling fixed income excess returns
Excess returns earned in fixed-income markets have been modeled using the ARCH-M model of Engle et al. and its variants. We investigate whether the empirical evidence obtained from an ARCH-M type model is sensitive to the definition of the holding period (ranging from 5 days to 90 days) or to the choice of data used to compute excess returns (coupon or zero-coupon bonds). There is robust support for the inclusion of a term spread in a model of excess returns, while the significance of the in-mean term depends on characteristics of the underlying data.
|Date of creation:||26 Jun 1998|
|Date of revision:||14 Apr 2000|
|Note:||This paper was previously titled "Conditional heteroskedasticity models of excess returns: How robust are the results?"|
|Contact details of provider:|| Postal: |
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John Y. Campbell, 1995.
"Some Lessons from the Yield Curve,"
Harvard Institute of Economic Research Working Papers
1713, Harvard - Institute of Economic Research.
- Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722 Elsevier.
- Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983.
"Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates,"
Cowles Foundation Discussion Papers
667, Cowles Foundation for Research in Economics, Yale University.
- Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 14(1), pages 173-224.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Brunner, Allan D & Simon, David P, 1996.
"Excess Returns and Risk at the Long End of the Treasury Market: An EGARCH-M Approach,"
Journal of Financial Research,
Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 443-57, Fall.
- Allan D. Brunner & David P. Simon, 1995. "Excess returns and risk at the long end of the Treasury market: an EGARCH-M approach," International Finance Discussion Papers 522, Board of Governors of the Federal Reserve System (U.S.).
- Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-80, August.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
- Allan D. Brunner & David P. Simon, 1996. "Excess Returns And Risk At The Long End Of The Treasury Market: An Egarch-M Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 443-457, 09.
When requesting a correction, please mention this item's handle: RePEc:boc:bocoec:409. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)
If references are entirely missing, you can add them using this form.