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  1. Time variation in the tail behaviour of Bund futures returns
    Author: Werner, Thomas; Upper, Christian
    Published: 2002
    Publisher:  Dt. Bundesbank, Frankfurt am Main

    The literature on the tail behaviour of asset prices focuses mainly on the foreign exchange and stock markets, with only a few papers dealing with bonds or bond futures. The present paper addresses this omission. We focus on three questions: (i) Are... more

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    The literature on the tail behaviour of asset prices focuses mainly on the foreign exchange and stock markets, with only a few papers dealing with bonds or bond futures. The present paper addresses this omission. We focus on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add value in addition to classical indicators? The answers to these questions are (i) yes, (ii) no, and (iii) yes. We find significant heaviness of the tails of the Bund future returns. The tail index is on average around 3, implying the nonexistence of the forth moments. With the aid of a recently developed test for changes in the tail behaviour we identify several breaks in the degree of heaviness of the return tails. Interestingly, the tails of the return distribution do not move in parallel to realised volatility. This suggests that the tails of futures returns contain information for risk management that complements those gained from more standard statistical measures.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 3935821344
    RVK Categories: QB 910 ; QK 660
    Series: Discussion paper / Economic Research Centre of the Deutsche Bundesbank ; 2002,25
    Subjects: Zinsderivat; Börsenkurs; Rendite; Risikoprämie; Index; Öffentliche Anleihe; Schätzung; Deutschland; Statistische Verteilung
    Scope: 33 S, graph. Darst, b
    Notes:

    Literaturverz. S. 25 - 27
  2. Time variation in the tail behaviour of bund futures returns
    Author: Werner, Thomas; Upper, Christian
    Published: 2002
    Publisher:  Dt. Bundesbank, Press and Public Relations Div., Frankfurt am Main

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