Vähämaa, Sami; Watzka, Sebastian; Äijö, Janne - In: Journal of Futures Markets 25 (2005) 9, pp. 817-843
This article examines the impact of macroeconomic news announcements on bond market expectations, as measured by option‐implied probability distributions of future bond returns. The results indicate that expected bond market volatilities increase in response to higher‐than‐expected...