Macroeconomic surprises and short-term behaviour in bond futures
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References listed on IDEAS
- 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.
- 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.
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- 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.
- Ielpo, Florian & Guégan, Dominique, 2006. "Further evidence on the impact of economic news on interest rates," MPRA Paper 3425, University Library of Munich, Germany, revised Jun 2007.
- Dominique Guegan & Florian Ielpo, 2007. "Further evidence on the impact of economic news on interest rates," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188331, HAL.
- Dominique Guegan & Florian Ielpo, 2009. "Further evidence on the impact of economic news on interest rates," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00439820, HAL.
- Nowak, Sylwia & Anderson, Heather M., 2014. "How does public information affect the frequency of trading in airline stocks?," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 26-38.
- Laakkonen Helinä & Lanne Markku, 2009.
"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.
- Blose, Laurence E., 2010. "Gold prices, cost of carry, and expected inflation," Journal of Economics and Business, Elsevier, vol. 62(1), pages 35-47, January.
- 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.
- Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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.
- repec:eee:finana:v:52:y:2017:i:c:p:130-143 is not listed on IDEAS
More about this item
KeywordsUS bonds; PDL model; Business cycle; Macroeconomic announcements; C22; G14;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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