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Macroeconomic announcements and asymmetric volatility in bond returns

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de Goeij, Peter
Marquering, Wessel

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 30 (2006)
Issue (Month): 10 (October)
Pages: 2659-2680
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Handle: RePEc:eee:jbfina:v:30:y:2006:i:10:p:2659-2680

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  1. TUYSUZ, Sukriye, 2007. "Central Bank transparency and the U.S. interest rates level and volatility response to U.S. news," MPRA Paper 5217, University Library of Munich, Germany. [Downloadable!]
  2. Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany. [Downloadable!]
  3. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis. [Downloadable!]
  4. Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007. "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers 2007-25, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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