Macroeconomic announcements and asymmetric volatility in bond returns

Journal of Banking and Finance

Volumn 30, Issue 10, 2006, Pages 2659-2680

  de Goeij, Peter ^a,b   Marquering, Wessel ^c  

^a TILBURG UNIVERSITY   (Netherlands)

^b UNIVERSITY OF LEUVEN   (Belgium)

^c ERASMUS UNIVERSITY   (Netherlands)

Author keywords

Asymmetric volatility; Bond market; Macroeconomic announcements

Indexed keywords

EID: 33747584434     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.09.014     Document Type: Article

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