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Intraday patterns, announcement effects, and volatility persistence in the Japanese government bond futures market
Shi, Weihua; Eisenberg, Laurence K.; Lee, Cheng F. - In: Review of Pacific Basin financial markets and policies 12 (2009) 1, pp. 63-85
Persistent link: https://www.econbiz.de/10003867391
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Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market
Shi, Weihua - 2009
Following Bollerslev et. al (2000), we do a similar study in terms of Japanese Government Bond (JGB) market. In this paper we characterize the high-frequency volatility of the Japanese Government Bond (JGB) futures on the Tokyo Stock Exchange (TSE) using five-minute returns from April 1998 to...
Persistent link: https://www.econbiz.de/10013159056