We examine the effects of unanticipated macroeconomic news on two interest rate futures using intraday data. The surprises are identified on the basis of their potential effects on debt markets (positive or negative) and by their size (large, medium, or small). The results show distinct ex-post...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>We empirically examine Parkinson's range-based volatility estimate in the federal funds market, which is unique because institutional regulations create a predictable pattern in interday volatility. We find that range-based volatility estimates and standard deviations produce the...