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- Publisher Website: 10.1016/S0927-5398(00)00002-5
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Article: Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market
Title | Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market |
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Authors | |
Keywords | C14 C22 G14 High-Frequency Data Intraday Volatility Patterns Long-Memory Volatility Macroeconomic News Announcements Treasury Bonds |
Issue Date | 2000 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfin |
Citation | Journal Of Empirical Finance, 2000, v. 7 n. 1, p. 37-55 How to Cite? |
Abstract | In this paper, we provide a detailed characterization of the return volatility in US Treasury bond futures contracts using a sample of 5-min returns from 1994 to 1997. We find that public information in the form of regularly scheduled macroeconomic announcements is an important source of volatility at the intraday level. Among the various announcements, we identify the Humphrey-Hawkins testimony, the employment report, the producer price index (PPI), the employment cost, retail sales, and the NAPM survey as having the greatest impact. Our analysis also uncovers striking long-memory volatility dependencies in the fixed income market, a finding with important implications for the pricing of long-term options and other related instruments. © 2000 Elsevier Science B.V. |
Persistent Identifier | http://hdl.handle.net/10722/177648 |
ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 0.927 |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bollerslev, T | en_US |
dc.contributor.author | Cai, J | en_US |
dc.contributor.author | Song, FM | en_US |
dc.date.accessioned | 2012-12-19T09:39:25Z | - |
dc.date.available | 2012-12-19T09:39:25Z | - |
dc.date.issued | 2000 | en_US |
dc.identifier.citation | Journal Of Empirical Finance, 2000, v. 7 n. 1, p. 37-55 | en_US |
dc.identifier.issn | 0927-5398 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/177648 | - |
dc.description.abstract | In this paper, we provide a detailed characterization of the return volatility in US Treasury bond futures contracts using a sample of 5-min returns from 1994 to 1997. We find that public information in the form of regularly scheduled macroeconomic announcements is an important source of volatility at the intraday level. Among the various announcements, we identify the Humphrey-Hawkins testimony, the employment report, the producer price index (PPI), the employment cost, retail sales, and the NAPM survey as having the greatest impact. Our analysis also uncovers striking long-memory volatility dependencies in the fixed income market, a finding with important implications for the pricing of long-term options and other related instruments. © 2000 Elsevier Science B.V. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfin | en_US |
dc.relation.ispartof | Journal of Empirical Finance | en_US |
dc.rights | Journal of Empirical Finance. Copyright © Elsevier BV. | - |
dc.subject | C14 | en_US |
dc.subject | C22 | en_US |
dc.subject | G14 | en_US |
dc.subject | High-Frequency Data | en_US |
dc.subject | Intraday Volatility Patterns | en_US |
dc.subject | Long-Memory Volatility | en_US |
dc.subject | Macroeconomic News Announcements | en_US |
dc.subject | Treasury Bonds | en_US |
dc.title | Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market | en_US |
dc.type | Article | en_US |
dc.identifier.email | Song, FM: fmsong@hkucc.hku.hk | en_US |
dc.identifier.authority | Song, FM=rp01095 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/S0927-5398(00)00002-5 | - |
dc.identifier.scopus | eid_2-s2.0-0010218351 | en_US |
dc.identifier.hkuros | 53661 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0010218351&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 7 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 37 | en_US |
dc.identifier.epage | 55 | en_US |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Bollerslev, T=7004087804 | en_US |
dc.identifier.scopusauthorid | Cai, J=54881120900 | en_US |
dc.identifier.scopusauthorid | Song, FM=7203075605 | en_US |
dc.identifier.issnl | 0927-5398 | - |