Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market

Journal of Empirical Finance

Volumn 7, Issue 1, 2000, Pages 37-55

  Bollerslev, Tim ^a   Cai, Jun ^b   Song, Frank M ^c,d  

^a DUKE UNIVERSITY   (United States)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c CLEVELAND STATE UNIVERSITY   (United States)

^d UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

C14; C22; G14; High frequency data; Intraday volatility patterns; Long memory volatility; Macroeconomic news announcements; Treasury bonds

Indexed keywords

EID: 0010218351     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(00)00002-5     Document Type: Article

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