Macroeconomic news and bond market volatility

Journal of Financial Economics

Volumn 47, Issue 3, 1998, Pages 315-337

  Jones, Charles M ^a   Lamont, Owen ^b   Lumsdaine, Robin L ^c  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

^c BROWN UNIVERSITY   (United States)

Author keywords

C32; G12; GARCH; Information; News; Risk; Volatility

Indexed keywords

EID: 0001459095     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0304-405x(97)00047-0     Document Type: Article

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