Lahaye, Jérôme; Laurent, Sébastien; Neely, Christopher J. - Federal Reserve Bank of St. Louis - 2007
futures, bond futures, exchange rates, and gold. We use bi-power variation and the recently proposed non-parametric techniques ….e., exchange rates, bonds, stock index. Payroll announcements are most important on stocks and bonds futures markets. Trade related … from three types of assets: stock
index futures, bond futures, and exchange rates. We then characterize the dynamics of …