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....

Full description

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