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Time variation in the tail behavior of Bund future returns
Werner, Thomas; Upper, Christian - In: The journal of futures markets 24 (2004) 4, pp. 387-398
Persistent link: https://www.econbiz.de/10006818729
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Time variation in the tail behaviour of bund futures returns
Werner, Thomas; Upper, Christian - 2002
Persistent link: https://www.econbiz.de/10009604838
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Latin America's non-linear response to pandemic inflation
Guerra, Rafael; Kamin, Steven; Kearns, John; Upper, … - 2024
Persistent link: https://www.econbiz.de/10015078722
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Tail wags dog? : time-varying information shares in the Bund market
Upper, Christian; Werner, Thomas - 2002
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...
Persistent link: https://www.econbiz.de/10011431780