Conditional volatility of Colombian Governmental fixed income securities as a predictor of short-term returns
According to literature, the long-maturity forward rates have information about the structure of the expected short-term returns. This paper finds that the conditional volatility factor also has information for predicting the term premium in the six-month expected returns with different maturities....
- Autores:
-
Pantoja-Robayo, J. O. (Javier Orlando)
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2008
- Institución:
- Universidad EIA .
- Repositorio:
- Repositorio EIA .
- Idioma:
- eng
- OAI Identifier:
- oai:repository.eia.edu.co:11190/612
- Acceso en línea:
- https://repository.eia.edu.co/handle/11190/612
- Palabra clave:
- REI00092
ORGANIZACIÓN E INDUSTRIA
ORGANIZATION AND INDUSTRY
CARTERA DE INVERSIONES
PORTFOLIO ( FINANCE )
CONDITIONAL VOLATILITY
SHORT TERM RETURN STRUCTURE
FORWARD RATES
GARCH MODELS
TERM PREMIUM
GOVERNMENTAL FIXED INCOME SECURITIES
VOLATILIDAD CONDICIONAL
ESTRUCTURA DE RETORNOS DE CORTO PLAZO
TASAS DE INTERÉS FUTURAS
MODELOS GARCH
PRIMA DE RIESGO
TÍTULOS GUBERNAMENTALES DE RENTA FIJA
- Rights
- openAccess
- License
- Derechos Reservados - Universidad EIA, 2020