Dynamics of Bond Returns in the Emerging Markets: A Study of the Thai Bond Market

摘要: The distributional properties of securities prices, and rate returns have important implications for financial modeling. Mean variance are the key variables in valuation models. Considerable amount work has been done to identify distribution price changes rates return as characterized by volatile-variance stationary period. general conclusion these studies is that speculative series nonlinear intertemporal dependence nature (Bollerslev, 1987). This based a phenomenon was observed Mandelbrot (1963), large tend be followed other same direction either upward or downward movements. Moreover, absence serial correlation time returns, does not necessary means statistical independence. However this studied past only stocks foreign exchange our knowledge corporate bonds.