Realized volatility and stylized facts of Chinese Treasury bond market

摘要：

Based on high frequency data,this paper studies on the volatility stylized facts of Chinese Treasury bond market (CTBM) in detail, including the best sampling frequency selected to compute the realized volatility, the conditional and unconditional distribution of the returns, the long memory property, the intraday,inter-day pattern of the returns and volatility,and so on. The main conclusions about CTBM volatility are provided. 15 minute is best sampling frequency. The RV-based conditional distribution of return is nearly normal. Both return and volatility have significant inter-day but insignificant intraday periodicity.

关键词： Realized volatility Chinese Treasury bond market High frequency data

作者: Dijun Tan Yixiang Tian

作者单位: School of Management,University of Electronic Science and Technology of China Chengdu, China, 610054

会议类型: 国际会议

会议名称: 2007 Conference on Systems Science, Management Science and System Dynamics(第二届系统科学、管理科学与系统动力学国际会议)

会议地点: 上海

会议语种:英文

页码: 1965-1970

在线出版日期: 2007-10-19（万方平台首次上网日期，不代表论文的发表时间）