U.S. Treasury Market: The High-Frequency Evidence
Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc.
69 Pages Posted: 25 Feb 2016
Date Written: July 1, 2014
This paper reviews the existing empirical evidence on the time-series behavior of the U.S. Treasury markets at high frequency: daily and intra-day data. The use of high-frequency data in econometric analyses is a major recent development in the study of the fixed income markets: the response of prices to scheduled and unscheduled news, conditional-volatility dynamics, and jump and diffusion behavior, can all be examined much more precisely with high-frequency data. High-frequency data are also important for the characterization of the trading environment as they allow us to examine the immediate impact of trading on prices and how this impact is affected by the presence of macro news. Lastly, the presence and impact of high-frequency trading can only be studied by analyzing high-frequency data.
Keywords: high-frequency data, economic news, volatility, jumps, high-frequency trading
JEL Classification: G12, G14
Suggested Citation: Suggested Citation