Macroeconomic announcements,intraday covariance structure and asymmetry in the interest rate futures returns |
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| Authors: | Dimitrios D Thomakos Tao Wang Jingtao Wu Russell P Chuderewicz |
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| Institution: | 1. Department of Economics, School of Management and Economics, University of Peloponnese, Tripolis Campus 22100, Greece;2. Department of Economics, Queens College and the Graduate Center of the City University of New York, New York;3. Department of Economics, Iowa State University, Ames, Iowa;4. Department of Economics, Penn State University, University Park, Pennysylvania |
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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 jumps in volatilities, covariances, and correlations. The details of the linkage are intriguing and include announcements timing effect. Further study on intraday asymmetric volatility and correlation-in-volatility indicates that news announcements magnify asymmetric volatility and shed light on why correlations tend to be high when volatilities are high. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:815–844, 2008 |
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