de Goeij, de Goeij, P.; Marquering, Marquering, W.A. - Erasmus Research Institute of Management (ERIM), … - 2002
In this paper we study the impact of macroeconomic news announcements on the conditional volatility of stock and bond returns. Using daily returns on the S&P 500 index, the NASDAQ index, and the 1 and 10 year U.S. Treasury bonds, for January 1982 - August 2001, some interesting results emerge....
