Volatility Forecasting in European Government Bond Markets
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- Özbekler, Ali Gencay & Kontonikas, Alexandros & Triantafyllou, Athanasios, 2021. "Volatility forecasting in European government bond markets," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1691-1709.
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Cited by:
- Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
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More about this item
Keywords
Treasury Bonds; Jumps; Realized Volatility; Macroeconomic Announcements; Volatility Forecasting;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2020-05-04 (Financial Markets)
- NEP-FOR-2020-05-04 (Forecasting)
Statistics
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