Title

An Empirical Examination Of Intraday Volatility In On-The-Run U.S. Treasury Bills

Keywords

Intraday volatility; Treasury auction

Abstract

We further the empirical research on U-shaped intraday volatility patterns by investigating the U.S. Treasury bill (T-bill) market. Using hourly T-bill yields for on-the-run 13-, 26-, and 52-week T-bills from 9 a.m. to 4 p.m., New York time, over the period from January 1983 through December 2000 and using a variety of methods, we find a U-shaped intraday volatility pattern for each T-bill under each method. Our finding of a U-shaped intraday volatility pattern in the T-bill market suggests that previously identified U-shaped intraday volatility patterns in fed funds and euro-dollar deposits are not the result of unique behavior by depository institutions. © 2006 Elsevier Inc. All rights reserved.

Publication Date

11-1-2007

Publication Title

Journal of Economics and Business

Volume

59

Issue

6

Number of Pages

487-499

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.jeconbus.2006.10.001

Socpus ID

34948896069 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/34948896069

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