Jumps and trading activity in interest rate futures markets : the response to macroeconomic announcements
Johan Bjursell; George H. K. Wang; Robert I. Webb
| Year of publication: |
2013
|
|---|---|
| Authors: | Bjursell, Johan ; Wang, George H. K. ; Webb, Robert I. |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 42.2013, 5, p. 689-723
|
| Subject: | Realized variation | Bipower variation | Jump statistics | Interest rate futures | Macro announcements | Price and trading volume patterns | Zinsderivat | Interest rate derivative | Ankündigungseffekt | Announcement effect | Volatilität | Volatility | Handelsvolumen der Börse | Trading volume | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010249006