On the distribution of government bond returns: evidence from the EMU
This paper assesses the statistical distribution of daily EMU bond returns for the period 1999–2012. The normality assumption is tested and clearly rejected for all European countries and maturities. Although skewness plays a minor role in this departure from normality, it is mainly due to the exces...
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Veröffentlicht in: | Financial markets and portfolio management 2014-05, Vol.28 (2), p.181-203 |
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description | This paper assesses the statistical distribution of daily EMU bond returns for the period 1999–2012. The normality assumption is tested and clearly rejected for all European countries and maturities. Although skewness plays a minor role in this departure from normality, it is mainly due to the excess kurtosis of bond returns. Therefore, we test the Student’s
t
, skewed Student’s
t
, and stable distribution that exhibit this feature. The financial crisis leads to a structural break in the time series. We account for this and retest the alternative distributions. A value-at-risk application underlines the importance of our findings for investors. In sum, excess kurtosis in bond returns is essential for risk management, and the stable distribution captures this feature best. |
doi_str_mv | 10.1007/s11408-014-0228-y |
format | Article |
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t
, skewed Student’s
t
, and stable distribution that exhibit this feature. The financial crisis leads to a structural break in the time series. We account for this and retest the alternative distributions. A value-at-risk application underlines the importance of our findings for investors. In sum, excess kurtosis in bond returns is essential for risk management, and the stable distribution captures this feature best.</description><identifier>ISSN: 1934-4554</identifier><identifier>EISSN: 2373-8529</identifier><identifier>DOI: 10.1007/s11408-014-0228-y</identifier><identifier>CODEN: SCIEAS</identifier><language>eng</language><publisher>Boston: Springer US</publisher><subject>Bond markets ; Business and Management ; Capitalization ; Corporate bonds ; Equity ; European Monetary Union ; Finance ; Government bonds ; Interest rates ; Kurtosis ; Management ; Parameter estimation ; Portfolio management ; Probability distribution ; Return on investment ; Risk management ; Skewness ; Students ; Studies ; Time series</subject><ispartof>Financial markets and portfolio management, 2014-05, Vol.28 (2), p.181-203</ispartof><rights>Swiss Society for Financial Market Research 2014</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c403t-5a5e2c7fa375cd8c812f3daced045ce926de7cc1636885ff2527db1ab6f53ab53</citedby><cites>FETCH-LOGICAL-c403t-5a5e2c7fa375cd8c812f3daced045ce926de7cc1636885ff2527db1ab6f53ab53</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://link.springer.com/content/pdf/10.1007/s11408-014-0228-y$$EPDF$$P50$$Gspringer$$H</linktopdf><linktohtml>$$Uhttps://link.springer.com/10.1007/s11408-014-0228-y$$EHTML$$P50$$Gspringer$$H</linktohtml><link.rule.ids>314,780,784,27924,27925,41488,42557,51319</link.rule.ids></links><search><creatorcontrib>Gabriel, Christian</creatorcontrib><creatorcontrib>Lau, Christian</creatorcontrib><title>On the distribution of government bond returns: evidence from the EMU</title><title>Financial markets and portfolio management</title><addtitle>Financ Mark Portf Manag</addtitle><description>This paper assesses the statistical distribution of daily EMU bond returns for the period 1999–2012. The normality assumption is tested and clearly rejected for all European countries and maturities. Although skewness plays a minor role in this departure from normality, it is mainly due to the excess kurtosis of bond returns. Therefore, we test the Student’s
t
, skewed Student’s
t
, and stable distribution that exhibit this feature. The financial crisis leads to a structural break in the time series. We account for this and retest the alternative distributions. A value-at-risk application underlines the importance of our findings for investors. In sum, excess kurtosis in bond returns is essential for risk management, and the stable distribution captures this feature best.</description><subject>Bond markets</subject><subject>Business and Management</subject><subject>Capitalization</subject><subject>Corporate bonds</subject><subject>Equity</subject><subject>European Monetary Union</subject><subject>Finance</subject><subject>Government bonds</subject><subject>Interest rates</subject><subject>Kurtosis</subject><subject>Management</subject><subject>Parameter estimation</subject><subject>Portfolio management</subject><subject>Probability distribution</subject><subject>Return on investment</subject><subject>Risk management</subject><subject>Skewness</subject><subject>Students</subject><subject>Studies</subject><subject>Time series</subject><issn>1934-4554</issn><issn>2373-8529</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNp1kDtPwzAUhS0EEhX0B7BZYjb4HYcNVeUhFXWhs5XY1yUVtYudVuq_JyUMLEx3Od85Vx9CN4zeMUqr-8KYpIZQJgnl3JDjGZpwUQliFK_P0YTVQhKplLxE01I2lFKmKi2EnqD5MuL-A7DvSp-7dt93KeIU8DodIMctxB63KXqcod_nWB4wHDoP0QEOOW1_0Pnb6hpdhOazwPT3XqHV0_x99kIWy-fX2eOCOElFT1SjgLsqNKJSzhtnGA_CNw48lcpBzbWHyjmmhTZGhcAVr3zLmlYHJZpWiSt0O_bucvraQ-ntJg1vDZOWKVZTbrQRQ4qNKZdTKRmC3eVu2-SjZdSehNlRmB2E2ZMwexwYPjJlyMY15D_N_0Lf2KluIQ</recordid><startdate>20140501</startdate><enddate>20140501</enddate><creator>Gabriel, Christian</creator><creator>Lau, Christian</creator><general>Springer US</general><general>Springer Nature B.V</general><scope>AAYXX</scope><scope>CITATION</scope><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>885</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ANIOZ</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRAZJ</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>M1F</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>20140501</creationdate><title>On the distribution of government bond returns: evidence from the EMU</title><author>Gabriel, Christian ; Lau, Christian</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c403t-5a5e2c7fa375cd8c812f3daced045ce926de7cc1636885ff2527db1ab6f53ab53</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2014</creationdate><topic>Bond markets</topic><topic>Business and Management</topic><topic>Capitalization</topic><topic>Corporate bonds</topic><topic>Equity</topic><topic>European Monetary Union</topic><topic>Finance</topic><topic>Government bonds</topic><topic>Interest rates</topic><topic>Kurtosis</topic><topic>Management</topic><topic>Parameter estimation</topic><topic>Portfolio management</topic><topic>Probability distribution</topic><topic>Return on investment</topic><topic>Risk management</topic><topic>Skewness</topic><topic>Students</topic><topic>Studies</topic><topic>Time series</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Gabriel, Christian</creatorcontrib><creatorcontrib>Lau, Christian</creatorcontrib><collection>CrossRef</collection><collection>Global News & ABI/Inform Professional</collection><collection>Trade PRO</collection><collection>ProQuest Central (Corporate)</collection><collection>ProQuest_ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection</collection><collection>Banking Information Database (Alumni Edition)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni)</collection><collection>ProQuest Central</collection><collection>Accounting, Tax & Banking Collection (ProQuest)</collection><collection>AUTh Library subscriptions: ProQuest Central</collection><collection>ProQuest Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central</collection><collection>Accounting, Tax & Banking Collection (Alumni)</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Professional Standard</collection><collection>ABI/INFORM Global (ProQuest)</collection><collection>Banking Information Database</collection><collection>One Business (ProQuest)</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection><jtitle>Financial markets and portfolio management</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Gabriel, Christian</au><au>Lau, Christian</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>On the distribution of government bond returns: evidence from the EMU</atitle><jtitle>Financial markets and portfolio management</jtitle><stitle>Financ Mark Portf Manag</stitle><date>2014-05-01</date><risdate>2014</risdate><volume>28</volume><issue>2</issue><spage>181</spage><epage>203</epage><pages>181-203</pages><issn>1934-4554</issn><eissn>2373-8529</eissn><coden>SCIEAS</coden><abstract>This paper assesses the statistical distribution of daily EMU bond returns for the period 1999–2012. The normality assumption is tested and clearly rejected for all European countries and maturities. Although skewness plays a minor role in this departure from normality, it is mainly due to the excess kurtosis of bond returns. Therefore, we test the Student’s
t
, skewed Student’s
t
, and stable distribution that exhibit this feature. The financial crisis leads to a structural break in the time series. We account for this and retest the alternative distributions. A value-at-risk application underlines the importance of our findings for investors. In sum, excess kurtosis in bond returns is essential for risk management, and the stable distribution captures this feature best.</abstract><cop>Boston</cop><pub>Springer US</pub><doi>10.1007/s11408-014-0228-y</doi><tpages>23</tpages></addata></record> |
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subjects | Bond markets Business and Management Capitalization Corporate bonds Equity European Monetary Union Finance Government bonds Interest rates Kurtosis Management Parameter estimation Portfolio management Probability distribution Return on investment Risk management Skewness Students Studies Time series |
title | On the distribution of government bond returns: evidence from the EMU |
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