Intraday periodicity , long memory volatility , and macroeconomic announcement effects in the US Treasury bond market

@inproceedings{Bollerslev2000IntradayP,
  title={Intraday periodicity , long memory volatility , and macroeconomic announcement effects in the US Treasury bond market},
  author={Tim Bollerslev and Jun Yu Jacinta Cai and Frank M. Song},
  year={2000}
}
In this paper, we provide a detailed characterization of the return volatility in US Treasury bond futures contracts using a sample of 5-min returns from 1994 to 1997. We find that public information in the form of regularly scheduled macroeconomic announcements is an important source of volatility at the intraday level. Among the various announcements, we identify the Humphrey–Hawkins testimony, the employment report, the Ž . producer price index PPI , the employment cost, retail sales, and… CONTINUE READING
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