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A mean variance king? : creation and resolution of uncertainty under the employment report's reign

Hautsch, Nikolaus - 2001

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...

Persistent link: https://www.econbiz.de/10013428452

US Dollar swaps after LIBOR

Heidorn, Thomas; Meier, Rebecca - 2024

The main focus of this paper is a comprehensive overview of the US$ reference rate reform, with a particular focus on its implications for USD interest rate swaps (IRS). This paper aims to shed light on the current situation and future developments in a changing financial landscape. This paper...

Persistent link: https://www.econbiz.de/10014468854

Financial uncertainty and the TED spread

Kauke, Kenneth B. - In: CRB commodity year-book (1990), pp. 15-23

Persistent link: https://www.econbiz.de/10001131031

The hedging performance of the CD futures market

Overdahl, James A. - In: The journal of futures markets 6 (1986) 1, pp. 71-81

Persistent link: https://www.econbiz.de/10001135564

Restructuring the maturity of regulated deposits with treasury-bill futures

Jacobs, Rodney L. - In: The journal of futures markets 2 (1982) 2, pp. 183-193

Persistent link: https://www.econbiz.de/10001080918

Cross hedging CDs with Treasury bill futures

Senchack, Andrew J. - In: The journal of futures markets 3 (1983) 4, pp. 429-438

Persistent link: https://www.econbiz.de/10001085124

Safe assets : made, not just born

McCauley, Robert N. - 2019

Persistent link: https://www.econbiz.de/10011981387

Inter-variety equilibrium of Chinese treasury futures

Wang, Jinzhong; Zhong, Hong; Yu, Zhenjie - In: Credit and capital markets : Kredit und Kapital 55 (2022) 2, pp. 261-290

, and the transaction cost and market friction are considered in building the arbitrage-free spread interval. By comparing … Treasury futures. We find that there are many arbitrage opportunities among the three varieties, and the market is not fully … Treasury futures market will lead to higher market efficiency, shorter duration of arbitrage opportunities, and a faster return …

Persistent link: https://www.econbiz.de/10014518583

A no-arbitrage perspective on global arbitrage opportunities

Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; … - 2020

Persistent link: https://www.econbiz.de/10012225663

Hedging mortgage-backed securities with treasury bond futures

Batlin, Carl A. - In: The journal of futures markets 7 (1987) 6, pp. 675-693

Persistent link: https://www.econbiz.de/10003483036