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Volatility forecasting in European government bond markets

Özbekler, Ali Gencay; Kontonikas, Alexandros; … - In: International journal of forecasting 37 (2021) 4, pp. 1691-1709

Persistent link: https://www.econbiz.de/10013274332

Markovian analysis of U.S. Treasury volatility : asymmetric responses to macroeconomic announcements

Gigante, Gimede; Guarniero, Pieralberto; Pasini, Simona - In: Economics letters 239 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10015076688

The impact of macroeconomic news on Polish and Czech government bond markets

Hausenblas, Václav; Pištora, Vojtěch - 2015

We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under...

Persistent link: https://www.econbiz.de/10010529892

Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach

Liu, Hsiang-Hsi; Wang, Teng-Kun; Li, Weny - In: Research in international business and finance 48 (2019), pp. 381-396

Persistent link: https://www.econbiz.de/10012135956

The business cycle and impacts of economic news on financial markets

Cakan, Esin - In: Journal of business & economics research 10 (2012) 6, pp. 385-390

Persistent link: https://www.econbiz.de/10009567443

An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets

Zhou, Haigang; Zhu, John Qi - In: Pacific-Basin finance journal 20 (2012) 5, pp. 857-880

Persistent link: https://www.econbiz.de/10009619749

Interest rate volatility and risk management : evidence from CBOE Treasury options

Markellos, Raphaēl N.; Psychoyios, Dimitris - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 190-202

Persistent link: https://www.econbiz.de/10012034535

The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?

Li, Leon; Scrimgeour, Frank G. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497

Persistent link: https://www.econbiz.de/10013334844

No news is not good news: evidence from the intra-day return volatility-volume relationship in Shanghai stock exchange

Krishnamurti, Chandrasekhar; Tian, Gary Gang; Xu, Min; … - In: Journal of the Asia Pacific economy 18 (2013) 1, pp. 149-167

Persistent link: https://www.econbiz.de/10009713176

News and return volatility of Chinese bank stocks

Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: International review of economics & finance : IREF 69 (2020), pp. 1095-1105

Persistent link: https://www.econbiz.de/10012487527

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