English, Article, Journal or magazine article edition: Modeling fixed income excess returns Basma Bekdache; Christopher F. Baum

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Bookmark: http://trove.nla.gov.au/version/73908
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Modeling fixed income excess returns
Author
  • Basma Bekdache
  • Christopher F. Baum
Physical Description
  • preprint
Notes
  • 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.
  • GARCH models, excess returns, term premium
  • RePEc:boc:bocoec:409
Language
  • English
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