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The impact of changes in FOMC disclosure practices on the transparency of monetary policy : are markets and the FOMC better "synched"?

Poole, William; Rasche, Robert H. - In: Review / Federal Reserve Bank of St. Louis 85 (2003) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10001784780

Options on bond futures : isolating the risk premium

Tompkins, Robert G. - In: The journal of futures markets 23 (2002) 2, pp. 169-215

Persistent link: https://www.econbiz.de/10001762673

Was there front running during the LTCM crisis?

Cai, Fang - 2003

Persistent link: https://www.econbiz.de/10001746150

An examination of the impact of macroeconomic news on the spot and futures treasuries markets

Simpson, Marc W.; Ramchander, Sanjay - In: The journal of futures markets 24 (2004) 5, pp. 453-478

Persistent link: https://www.econbiz.de/10002012490

Macroeconomic announcements and volatility of treasury futures

Li, Li; Engle, Robert F. - 1998

Persistent link: https://www.econbiz.de/10000997634

Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach

Liu, Hsiang-Hsi; Wang, Teng-Kun; Li, Weny - In: Research in international business and finance 48 (2019), pp. 381-396

Persistent link: https://www.econbiz.de/10012135956

Statistical arbitrage in the U.S. treasury futures market

Dare, Wale - 2017

Hier argumentieren wir empirisch, dass der US-Treasury-Futures-Markt informatorisch ineffizient ist. Wir zeigen, dass eine Intraday-Strategie, die auf der Annahme von kointegrierten Treasury-Futures-Preisen basiert, statistisch signifikante Überrenditen gegenüber dem gleichgewichteten...

Persistent link: https://www.econbiz.de/10011799713

The Time-Varying Response of Foreign Stock Markets to U.S. Monetary Policy Surprises : Evidence from the Federal Funds Futures Market

Kishor, N. Kundan - 2012

In this paper, we estimate the time-varying response of foreign stock markets to U.S. monetary policy shocks derived from the high-frequency Federal funds futures market. Our results show significant time-variation in the response of the global equity markets to U.S. monetary policy surprises,...

Persistent link: https://www.econbiz.de/10013111064

Parsimoneous modeling of yield curves for U.S. Treasury bills

Nelson, Charles R.; Siegel, Andrew F. - 1985

Persistent link: https://www.econbiz.de/10000685332

Short-term predictability of the term structure

Reisman, Haim; Zohar, Gady - In: The journal of fixed income 14 (2004) 3, pp. 7-14

Persistent link: https://www.econbiz.de/10002682297