Intra-day behavior of treasury sector index option implied volatilities around macroeconomic announcements

Financial Review

Volumn 38, Issue 1, 2003, Pages 161-177

  Heuson, Andrea J ^a   Su, Tie ^a  

^a UNIVERSITY OF MIAMI   (United States)

Author keywords

Implied volatility; Macroeconomic announcements; Market efficiency

Indexed keywords

EID: 23844556392     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/1540-6288.00040     Document Type: Article

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