Markovian analysis of U.S. treasury volatility: asymmetric responses to macroeconomic announcements

DOI10.1016/J.ECONLET.2024.111723MaRDI QIDQ6594299zbMATH OpenFDO

Authors Gimede Gigante, Pieralberto Guarniero, Simona Pasini

Publication date 28 August 2024

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2024.111723

zbMATH Keywords

asymmetric responsesGARCH-class modelsmacroeconomic announcementsMarkov chainsstate-dependent modeltreasury auctionsU.S. treasuriesvolatility dynamics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Macroeconomic theory (monetary models, models of taxation) (91B64)

Recommendations

• Liquidity and volatility in the U.S. Treasury market
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Cites work

• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity

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