Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market
By Tim Bollerslev, Jun Cai, Frank M. Song. 2000
268 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/5c04c8ca497f6cc466a6478fa963aa5d3d479b16
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Roberto Renò
- Davide Pirino
- Fulvio Corsi
- Jussi Nikkinen
- Filip Žikeš
- Tim Bollerslev
- Andrew J. Patton
- Jozef Baruník
In Finance
- Roberto Renò
- Fulvio Corsi
- Davide Pirino
- Jussi Nikkinen
- Filip Žikeš
- Tim Bollerslev
- Andrew J. Patton
- Jozef Baruník
Citations in the corpus
- Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models (2010, unknown): “4This extensive literature includes, e.g., Andersen et al. (2006b), Balduzzi et al. (2001), Bollerslev et al. (2000), Fleming and Remolona (1999), Johannes (2004), and Piazzesi (2005).”
- The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market (2006, unknown): “The availability of high frequency data has dramatically enhanced detection and estimation of announcement effects in bond prices (e.g., Ederington and Lee, 1993), return volatility (e.g., Bollerslev et al., 2000), and market liquidity (e.g., Fleming and Remolona, 1997, 1999).”
- Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2006, unknown): “T-Bond markets are reported in Andersen and Bollerslev (1998) and Bollerslev, Cai and Song (2000) .”
- How is Macro News Transmitted to Exchange Rates (2008, unknown): “For bond markets, see Fleming and Remolona (1999), Bollerslev, Cai, and Song (2000) , and Huang, Cai, and Wang (2002).”
- Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, background): “Indeed, Related studies, for example Bollerslev et al. (2000), find two intraday spikes at hours in which announcements are released.”
- Global stock market reactions to scheduled U.S. macroeconomic news announcements (2006, methodology): “S. stockmarket, the importance of different scheduled news announcement varies as shown, for example, by Bollerslev, Cai, and Song (2000) and Graham, Nikkinen, and Sahlström (2003).”