Siawash Safavi Nic

Robeco Asset Management

Rotterdam, 3011 AG

Netherlands

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Scholarly Papers (1)

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Forecasting Bond Returns Using Jumps in Intraday Prices

Journal of Fixed Income, Vol. 20, No. 4, 2011
Number of pages: 19 Posted: 01 Dec 2010 Last Revised: 05 Apr 2013
Johan G. Duyvesteyn, Martin Martens and Siawash Safavi Nic
Robeco Asset Management, Erasmus University Rotterdam (EUR) and Robeco Asset Management
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Abstract:

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Bond return predictability, mean-reversion, realized jumps