Markovian analysis of U.S. Treasury volatility : asymmetric responses to macroeconomic announcements
Gimede Gigante, Pieralberto Guarniero, Simona Pasini
| Year of publication: |
2024
|
|---|---|
| Authors: | Gigante, Gimede ; Guarniero, Pieralberto ; Pasini, Simona |
| Subject: | Asymmetric responses | Garch-class models | Macroeconomic announcements | Markov chains | State-Dependent Model | Treasury Auctions | U.S. treasuries | Volatility Dynamics | Volatilität | Volatility | USA | United States | Markov-Kette | Markov chain | Staatspapier | Government securities | Ankündigungseffekt | Announcement effect | Öffentliche Anleihe | Public bond | Schätzung | Estimation | ARCH-Modell | ARCH model |
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