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High-frequency trading in bond futures markets
Schlepper, Kathi - In: Essays on current phenomena and developments in …, (pp. 25-67). 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …
Persistent link: https://www.econbiz.de/10011545655
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Modelling slippage : an application to the bund futures contract
Acar, Emmanuel; Petitdidier, Edouard - In: Forecasting volatility in the financial markets, (pp. 173-186). 2007
Persistent link: https://www.econbiz.de/10003872895
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Engineering a generalized neural network mapping of volatility spillovers in European government bond markets
Dash, Gordon H.; Kajiji, Nina - In: Handbook of financial engineering, (pp. 201-229). 2008
Persistent link: https://www.econbiz.de/10003753673
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Foreign participation in the local currency bond markets of emerging market economies : good or bad for market resilience and financial stability?
Hongkong / Monetary Authority - In: Financial market development, monetary policy and …, (pp. 133-140). 2020
Persistent link: https://www.econbiz.de/10012432996
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Le marché financier face aux obligations d'Etat
Godron, Olivier - In: La dette publique en France, (pp. 507-527). 1990
Persistent link: https://www.econbiz.de/10001276134
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Le régime juridique des emprunts publics : (emprunts du Trésor et instruments divers)
Colly, François - In: La dette publique en France, (pp. 295-332). 1990
Persistent link: https://www.econbiz.de/10001276141
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Indexation and maturity of government bonds : an exploratory model
Calvo, Guillermo - In: Public debt management : theory and history ; [based on …, (pp. 52-82). 1990
Persistent link: https://www.econbiz.de/10001277323
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The risk premium on Italian government debt, 1976 - 88
Cottarelli, Carlo - In: Macroeconomics and macroeconomic policy issues, (pp. 33-72). 1991
Persistent link: https://www.econbiz.de/10001278937
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An investigation of the effect of funding on the slope of the yield curve
Egginton, Don M. - In: Econometric analysis of financial markets, (pp. 139-161). 1994
Persistent link: https://www.econbiz.de/10001284431
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The capital market in Malaysia : a turning point
BinYakcop Mohamed, Nor - In: Malaysia's capital market : growth and opportunities ; …, (pp. 53-70). 1991
Persistent link: https://www.econbiz.de/10001284552