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• W2186402854 abstract "This paper characterizes the risk-return trade-o in the U.S. Treasury market. We propose a discrete-time no-arbitrage term structure model, in which bond prices are solved in closed form and the conditional variances of bond yields are decomposed into a short-run component and a long-run component, each of which follows a GARCH-type process. Estimated using Treasury yields data from January 1962 to August 2007, our model simultaneously matches the conditional volatility dynamics and the deviation from the expectations hypothesis in the data. We nd that a higher short-run volatility component of bond yields signicantly predicts a higher future excess return, above and beyond the predictive power of the yields. The long-run volatility component does not predict bond excess returns." @default.
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• W2186402854 date "2014-01-01" @default.
• W2186402854 modified "2023-09-27" @default.
• W2186402854 title "Risk and Return Trade-o in the U.S. Treasury Market" @default.
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• W2186402854 hasPublicationYear "2014" @default.
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