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Tail wags dog? : Time-varying information shares in the bund market
Upper, Christian; Werner, Thomas - 2002
The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...
Persistent link: https://www.econbiz.de/10001717556
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Tail wags dog? : time-varying information shares in the Bund market
Upper, Christian; Werner, Thomas - 2002
The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...
Persistent link: https://www.econbiz.de/10011431780
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Massachusetts sells LIBOR index general obligation bonds with an interest rate swap
Feldstein, Sylvan G.; Landers, Patrick - In: The handbook of municipal bonds, (pp. 1253-1256). 2008
Persistent link: https://www.econbiz.de/10003715614
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Hedging European government bond portfolios during the recent sovereign debt crisis
Bessler, Wolfgang; Wolff, Dominik - In: Journal of international financial markets, … 33 (2014), pp. 379-399
Persistent link: https://www.econbiz.de/10011299815
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Benchmark tipping in the global bond market
Kreicher, Lawrence; McCauley, Robert N.; Wooldridge, Philip - 2014
Persistent link: https://www.econbiz.de/10010434409
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Bond futures, inflation-indexed bonds, and inflation risk premium
Kanas, Angelos - In: Journal of international financial markets, … 28 (2014), pp. 82-99
Persistent link: https://www.econbiz.de/10010411577
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Predicting bond future returns
Domian, Dale L.; Reichenstein, William R. - In: The journal of investing 20 (2011) 4, pp. 105-116
Persistent link: https://www.econbiz.de/10009672038
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General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets
Ulrich, Maxim - 2008
Persistent link: https://www.econbiz.de/10003751650
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The pricing of option on bond forwards
Ahn, Chang-mo; Cho, D. C. - In: Seoul journal of economics 18 (2005) 4, pp. 355-369
Persistent link: https://www.econbiz.de/10003289750