Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1
Author:
Publisher
Elsevier BV
Subject
Strategy and Management,Economics and Econometrics,Finance,Accounting
Reference44 articles.
1. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Empirical Finance,1997
2. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
3. ARCH modeling in finance: a review of the theory and empirical evidence;Bollerslev;Journal of Econometrics,1992
4. A capital asset pricing model with time varying covariances;Bollerslev;Journal of Political Economy,1988
5. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances;Bollerslev;Econometric Reviews,1992
Cited by 196 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Anatomy of sovereign yield behaviour using textual news;Research in International Business and Finance;2024-08
2. Cross‐Asset Tandem Trading and Extraordinary Volatility;Journal of Futures Markets;2024-07-03
3. Markovian analysis of U.S. Treasury volatility: Asymmetric responses to macroeconomic announcements;Economics Letters;2024-06
4. Trading Activity in the Corporate Bond Market: A SAD Tale of Macro-Announcements and Behavioral Seasonality?;Risks;2024-05-14
5. Let the Laser Beam Connect the Dots: Forecasting and Narrating Stock Market Volatility;INFORMS Journal on Computing;2024-03-18
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3