Template-type: ReDIF-Paper 1.0
Author-Name: Belén Nieto 
Author-Email: belen.nieto@ua.es
Author-Homepage: https://web.ua.es/es/researchgroupmffe/investigadores/nietodomenech.html
Author-Workplace-Name: Departamento de Economía Financiera y Contabilizad, University of Alicante, San Vicente del Raspeig, 03690 
	Alicante, Spain.
Author-Workplace-Homepage: https://web.ua.es/es/defc/
Author-Name: Alfonso Novales Cinca
Author-Email: anovales@ccee.ucm.es
Author-Person: pno7 
Author-Homepage: https://www.ucm.es/fundamentos-analisis-economico2/novales-cinca,-alfonso
Author-Workplace-Name: Departamento de Economía Cuantitativa (Department of Quantitative Economics). Universidad Complutense de Madrid.
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Author-Name: Gonzalo Rubio
Author-Email: gonzalo.rubio@uch.ceu.es
Author-Workplace-Name: University CEU Cardenal Herrera, Elche, 03204 Alicante, Spain.
Author-Workplace-Homepage: https://www.ucm.es/icae
Title: Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
Abstract: This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and 
	macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of 
	volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and 
	out-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic 
	and financial indicators may improve the fit of the model to actual bond return data, relative to the constant long-run 
	component embedded in a typical GARCH model.
Classification-JEL: G12, C22, E44.
Keywords: Corporate bonds, Volatility, Low-frequency component, High-frequency component, Macroeconomic indicators, Financial 
	indicators.
Length: 54 pages 
Creation-Date: 2014 
Number: 2014-25
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1425.txt
File-URL: https://eprints.ucm.es/id/eprint/26436/1/1425.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1425