Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns

The effects of scheduled macroeconomic announcements on the real‐time intraday return volatilities, covariances, and correlations between the Eurodollar futures and the U.S. Treasury bond futures markets are studied. These announcements are responsible for most of the observed intraday jumps in volatilities, covariances, and correlations. The details of the linkage are intriguing and include announcements timing effect. Further study on intraday asymmetric volatility and correlation‐in‐volatility indicates that news announcements magnify asymmetric volatility and shed light on why correlations tend to be high when volatilities are high. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:815–844, 2008