Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market
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More about this item
KeywordsImplied volatility; Volatility index; Treasury; Implied volatility spillovers; News announcements;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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