interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall … gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative …

This paper examines the impact of changes in margin requirements on returns, transaction volumes, and price volatility … of Nikkei 225 futures on the Osaka Securities Exchange (OSE) and the Singapore International Monetary Exchange (SIMEX … shift trade to the competing exchange. Price volatility or returns are not systematically affected by changes in margin …

forecasting horizon, both in- and out-of-sample. Finally, a regime-switching estimation shows that the systematic risk component …

whether FX futures market will amplify the volatility of spot exchange rates, this paper analyzes the impact of establishing … FX futures markets on spot market volatility using data from major emerging market economies. The result shows that FX … futures market is not empirically associated with an increase in spot market volatility; in some cases, it is even associated …

Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper …

A common specification about the behavior of foreign exchange spot and futures prices is that they follow continuous … diffusion processes. The empirical regularities uncovered from daily and weekly currency futures data, however, cast doubts on … the validity of this model. First, contrary to the suggestions in the literature, changes in foreign currency futures …

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and … associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method … of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and …