Markovian analysis of U.S. treasury volatility: asymmetric responses to macroeconomic announcements (Q6594299)
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scientific article; zbMATH DE number 7902714
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| English | Markovian analysis of U.S. treasury volatility: asymmetric responses to macroeconomic announcements |
scientific article; zbMATH DE number 7902714 |
Statements
Markovian analysis of U.S. treasury volatility: asymmetric responses to macroeconomic announcements (English)
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28 August 2024
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U.S. treasuries
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macroeconomic announcements
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asymmetric responses
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GARCH-class models
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Markov chains
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volatility dynamics
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treasury auctions
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state-dependent model
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0.7284530401229858
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0.7176473140716553
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0.7067665457725525
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0.6744828224182129
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