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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...
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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...
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Untersuchung zeigt der Autor Möglichkeiten der Prognose von Geld- und Kapitalmarktzinssätzen auf. Im Rahmen der dem Konzept der …-Switching-Technik ein. Im zweiten Hauptteil wird aus theoretischer Sicht gezeigt, daß die Prognose von Zinssätzen ökonomisch sinnvoll ist …
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