Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
نویسندگان
چکیده
منابع مشابه
Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market
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 testimon...
متن کاملVolatility Pricing in the Stock and Treasury Markets
An assets sensitivity to stock market volatility carries a signi cant risk premium across both equity and xed income markets. Large-cap and growth stocks have less exposure to volatility risk. Their relatively greater ability to weather volatility surprises, such as those often associated with nancial crises, accounts for their lower expected returns when compared to small-cap and value stoc...
متن کاملMeasuring Bond Portfolio Value at Risk and Expected Shortfall in US Treasury Market
This paper measured the value at risk (VaR) and expected shortfall (ES) of the US Treasury yield changes. The US Treasury yield data were tested and found to be not normally distributed. Consequently, the mixture normal model (MNM) was used to improve the delta normal VaR and ES measures. It performed extraordinarily well in all cases, based on bootstrapping and mean square error tests. In addi...
متن کاملMeasuring Treasury Market Liquidity
This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed relative to one another, across securities, and over time. I find highly significant price impact coefficients, such that a simple model that explains price changes with net order flow produces an R statistic above 30% for the two-year note. The price impact coefficients are hig...
متن کاملHow the U.S. Treasury Should Auction Its Debt
The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2009
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474930802473736