Macroeconomic announcements, intraday co
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Dimitrios D. Thomakos; Tao Wang; Jingtao Wu; Russell P. Chuderewicz
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Article
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2008
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John Wiley and Sons
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English
β 330 KB
## Abstract The effects of scheduled macroeconomic announcements on the realβtime intraday return volatilities, covariances, and correlations between the Eurodollar futures and the U.S. Treasury bond futures markets are studied. These announcements are responsible for most of the observed intraday