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

DOI10.1080/07474930802473736zbMATH Open1172.62037OpenAlexW2128034370MaRDI QIDQ3182771FDOQ3182771

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

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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)

Cites Work

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

Cited In (1)

• Extremal quantiles and stock price crashes

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