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Macroeconomic announcements and the distribution of price-endings in the U.S. Treasury market
Nikiforov, Andrei; Pilotte, Eugene A. - In: The financial review : the official publication of the … 52 (2017) 1, pp. 69-100
Persistent link: https://www.econbiz.de/10011656874
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Private information flow and price discovery in the US treasury market
Jiang, George J.; Lo, Ingrid - In: Journal of banking & finance 47 (2014), pp. 118-133
Persistent link: https://www.econbiz.de/10010506499
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Economic announcements and the 10-year U.S. Treasury : surprising findings without the surprise component
Degiannakis, Stavros; Filis, George; Tsemperlidis, Stefanos - In: Applied economics letters 26 (2019) 15, pp. 1269-1273
Persistent link: https://www.econbiz.de/10012204722
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Economic news and bond prices : evidence from the US treasury market
Balduzzi, Pierluigi; Elton, Edwin J.; Green, Tracy Clifton - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 4, pp. 523-543
Persistent link: https://www.econbiz.de/10001651573
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Price formation and liquidity in the US treasury market : the response to public information
Fleming, Michael J.; Remolona, Eli M. - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1901-1915
Persistent link: https://www.econbiz.de/10001430958
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The asymmetric impact of "informative" and "uninformative" Federal Open Market Committee statements on asset prices
Farka, Mira - In: Contemporary economic policy : a journal of Western … 29 (2011) 4, pp. 469-493
Persistent link: https://www.econbiz.de/10009355088
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Information shocks, liquidity shocks, jumps, and price discovery : evidence from the US treasury market
Jiang, George J.; Lo, Ingrid; Verdelhan, Adrien - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 2, pp. 527-551
Persistent link: https://www.econbiz.de/10009153191
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Macroeconomic surprises and short-term behaviour in bond futures
Veredas, David - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 843-866
Persistent link: https://www.econbiz.de/10003233767
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Detecting jumps amidst prevalent zero returns : evidence from the U.S. Treasury securities
Han, Seung-Oh; Huh, Sahn-Wook; Park, Jeayoung - In: Journal of empirical finance 70 (2023), pp. 276-307
Persistent link: https://www.econbiz.de/10014423707
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Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market
López, Raquel - In: International review of financial analysis 42 (2015), pp. 292-303
Persistent link: https://www.econbiz.de/10011573500