Intraday periodicity , long memory volatility , and macroeconomic announcement effects on China Treasury bond market

@inproceedings{Jie2004IntradayP,
  title={Intraday periodicity , long memory volatility , and macroeconomic announcement effects on China Treasury bond market},
  author={Wu Jie and Wu Zefu},
  year={2004}
}
In this paper, we provide a detailed characterization of the volatility in China Treasury bond market using a sample of 5-min excess return from January, 4, 2000 to February, 28, 2002. We use two-step regression procedure and multivariate GARCH model to show that macroeconomic announcements is an important source of the volatility in China Treasury Bond market. Among the various announcements, we identify GDP, consumer price index (CPI), retail price index (RPI), People Bank of China benchmark… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 11 references

a new methodology for contigent claim valuation

  • L. Li, R. F. Engle
  • 1998
Highly Influential
3 Excerpts

Price formation and liquidity in the US treasury market : the response to public information

  • R. Jarrow, A. Morton
  • Journal of Finance
  • 1999

How markets process information: news releases and volatility

  • L. Ederington, J. Lee
  • Banking&Finance,
  • 1998
1 Excerpt

Sensitivity of the bank share returns distribution to changes in the level and volatility of interest rate : A GARCHM model

  • L. Ederington, J. Lee
  • 1998

Public information releases , private information arrival , and volatility in the foreign exchange market

  • R. DeGennaro, R. Shrieves
  • Journal of Empirical Finance
  • 1997

Asset pricing with a factorARCH covariance structure

  • M. Felming, E. Remolona
  • Journal of Economics
  • 1990

Similar Papers

Loading similar papers…