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Macroeconomic announcement effects on the covariance structure of government bond returns

✍ Scribed by Charlotte Christiansen

Book ID
117628100
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
346 KB
Volume
7
Category
Article
ISSN
0927-5398

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Macroeconomic announcements, intraday co
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✍ Dimitrios D. Thomakos; Tao Wang; Jingtao Wu; Russell P. Chuderewicz πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 330 KB

## 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