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Intraday jumps and US macroeconomic news announcements

✍ Scribed by Kevin P. Evans

Book ID
116615854
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
408 KB
Volume
35
Category
Article
ISSN
0378-4266

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## Abstract The effects of scheduled macroeconomic announcements on the real‐time 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