Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments

DOI10.1080/07474930802473736MaRDI QIDQ3182771zbMATH OpenOpenAlexFDO

Authors Suhejla Hoti, Esfandiar Maasoumi, Michael McAleer, D. J. Slottje

Publication date 16 October 2009

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://dea.uib.es/download?filename=w14.pdf

zbMATH Keywords

asymmetryforecastingindependenceriskdiversificationspecializationconditional volatilityconditional correlationdebt instrumentstreasury bills

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• An econometric analysis of asymmetric volatility: theory and application to patents
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Financial econometrics: Past developments and future challenges
• Generalized autoregressive conditional heteroscedasticity
• Normalité asymptotique de l'estimateur du pseudo-maximum de vraisemblance d'un modèle GARCH
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Stationarity and the existence of moments of a family of GARCH processes.
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility

Cited in

(2)

• The time-varying U.S. treasury bond demand elasticity
• Extremal quantiles and stock price crashes

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