Markovian analysis of U.S. Treasury volatility: Asymmetric responses to macroeconomic announcements
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Elsevier BV
Reference18 articles.
1. Economic News and Bond Prices: evidence from the U.S. Treasury Market;Balduzzi;J. Financial and Quant. Anal.,2001
2. When it cannot get better or worse: the asymmetric impact of good and bad news on bond returns in expansions and recessions;Beber;Rev. Financ.,2009
3. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econom.,1986
4. Macroeconomic announcement effects on the covariance structure of government bond returns;Christiansen;J. Empirical Finance,2000
5. The Information Content of the Announcements of the Federal Open Market Committee: A Market Microstructure Analysis;Cook;J. Money, Credit and Banking,1991
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