Macroeconomic surprises and short-term behaviour in bond futures
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 30 (2006)
Issue (Month): 4 (January)
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Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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- Jennifer Conrad & Bradford Cornell & Wayne R. Landsman, 2002. "When Is Bad News Really Bad News?," Journal of Finance, American Finance Association, vol. 57(6), pages 2507-2532, December.
- Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
- Nowak, Sylwia & Andritzky, Jochen & Jobst, Andreas & Tamirisa, Natalia, 2011. "Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2584-2597, October.
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"Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 14(1), pages 1-38, December.
- Laakkonen, Helinä & Lanne, Markku, 2008. "Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times," MPRA Paper 8296, University Library of Munich, Germany.
- Ielpo, Florian & Guégan, Dominique, 2006.
"Further evidence on the impact of economic news on interest rates,"
3425, University Library of Munich, Germany, revised Jun 2007.
- Dominique Guégan,Florian Ielpo, 2009. "Further Evidence on the Impact of Economic News on Interest Rates," Frontiers in Finance and Economics, SKEMA Business School, vol. 6(2), pages 1 - 45, October.
- Dominique Guegan & Florian Ielpo, 2007. "Further evidence on the impact of economic news on interest rates," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00188331, HAL.
- Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany.
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