Jumps and Trading Activity in Interest Rate Futures Markets: The Response to Macroeconomic Announcements
β Scribed by Bjursell, Johan; H. K. Wang, George; I. Webb, Robert
- Book ID
- 126883623
- Publisher
- Wiley (Blackwell Publishing)
- Year
- 2013
- Tongue
- English
- Weight
- 317 KB
- Volume
- 42
- Category
- Article
- ISSN
- 2041-9945
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract The effects of scheduled macroeconomic announcements on the realβtime intraday return volatilities, covariances, and correlations between the Eurodollar futures and the U.S. Treasury bond futures markets are studied. These announcements are responsible for most of the observed intraday
## Abstract This study examines the adjustment process in the interest rate futures market following large block trades, by analyzing changes in the levels of quoted prices, bidβask spreads, and trading activity. Most of the adjustment in prices and spreads is complete within 12 quote revisions (ap