CONDITIONAL VOLATILITY OF COLOMBIAN GOVERNMENTAL FIXED INCOME SECURITIES AS A PREDICTOR OF SHORT-TERM RETURNS (VOLATILIDAD CONDICIONAL DE LOS TíTULOS DE RENTA FIjA DEL GOBIERNO COLOMBIANO COMO PREDICTOR DE LOS RETORNOS DE CORTO PLAZO)

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.T...

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Revista EIA Revista EIA; Vol. 5, Núm. 10 (2008); 73-87

Universidad EIA

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Spanish

Fondo Editorial -EIA- Universidad EIA 2013

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10.24050/reia.v5i10.211