This article focuses on the asset price volatility at the stock exchange that result from the regime switching … behaviour in the market. This study is devoted to the question about how the asset price volatility affects the US sovereign … Regime-Switching ARCH (SWARCH) model to analyse data. The results show that there is high volatility regime in both the 2012 …

We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term …-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely …-diffusive models is incapable of accommodating the observed yield volatility dynamics. An important implication is that the bond …

market introduction in Slovenia on the term structure estimation and on the volatility of zero coupon yields and forward … the information content of bond prices for term structure estimation purpose. The volatility of spot and forward rates for …

bivariate time-varying coefficient models of each determinant; and use these estimates to explain economic volatility. We find … absolute value the corresponding spread's responsiveness, the lower (higher) is economic volatility …

Volatility is a concern of many investors. In turbulent financial times there can be a flight from the equity market to …'s volatility over a one-month period. The dependent variable in this study is the 10-year Treasury note. The 10-year T-note is the … mortgage rates. One conclusion of this analysis is that implied stock volatility may be a valuable variable for financial …

Various macroeconomic announcements are known to influence asset price volatility. While contemplating the impact of a … underlying cash market, pushes futures prices lower and volatility higher. Conversely, a higher bid-to-cover ratio, which … employment data as having a significant volatility impact on Treasury futures, and highlight the importance of non farm payrolls …

daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market …