Scheduled announcements and volatility p
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Peng Sun; Charles Sutcliffe
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Article
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2003
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John Wiley and Sons
🌐
English
⚖ 171 KB
## Abstract Both the UK spot and futures markets in short‐term interest rates are found to react strongly to surprises in the scheduled announcements of the repo rate and RPI. Therefore, these announcements should also affect the market for options on short‐term interest rate futures. Because the r