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treasury bondCompany
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond futures market in the context of the monthly macroeconomic news cycle. We advance and confirm the hypothesis that volatility and trading activity are higher in the first half of the month. The data indicate that these patterns arise from at least two sources: (1) a higher level of uncertainty regarding the value of news in announcements in the first half of the month, and (2) improvement in efficiency of macroeconomic forecasts from the first to the second half of the month
Abstract: This paper studies the financial market responses to macroeconomic news an-nouncements, in...
By jointly modeling returns and volatilities, we find that unemployment news has no significant impa...
By jointly modeling returns and volatilities, we find that unemployment news has no significant impa...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
This paper provides an extensive analysis of the predictive ability of financial volatility measures...
The arrival of the new information affects the asset prices. This is one the accepted cornerstones o...
Utilizing open-close returns, close-close returns and volume data, we examine the reaction of the Tr...
Recent evidence from the US, UK, French and German stock markets suggest that the turn-of-the-month ...
This paper provides an extensive analysis of the predictive ability of financial volatility measures...
Herein we explore whether macroeconomic announcements are a driving factor in the trading activity o...
This paper investigates the impact of the major US macroeconomic announcements on volatility and jum...
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018In this thes...
Abstract: This paper studies the financial market responses to macroeconomic news an-nouncements, in...
By jointly modeling returns and volatilities, we find that unemployment news has no significant impa...
By jointly modeling returns and volatilities, we find that unemployment news has no significant impa...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
This paper provides an extensive analysis of the predictive ability of financial volatility measures...
The arrival of the new information affects the asset prices. This is one the accepted cornerstones o...
Utilizing open-close returns, close-close returns and volume data, we examine the reaction of the Tr...
Recent evidence from the US, UK, French and German stock markets suggest that the turn-of-the-month ...
This paper provides an extensive analysis of the predictive ability of financial volatility measures...
Herein we explore whether macroeconomic announcements are a driving factor in the trading activity o...
This paper investigates the impact of the major US macroeconomic announcements on volatility and jum...
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018In this thes...
Abstract: This paper studies the financial market responses to macroeconomic news an-nouncements, in...
By jointly modeling returns and volatilities, we find that unemployment news has no significant impa...
By jointly modeling returns and volatilities, we find that unemployment news has no significant impa...
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