Search Results - subject:"Treasury Futures"

Uncertainty about interest rates and crude oil prices

Qadan, Mahmoud; Cohen, Gil - In: Financial innovation : FIN 10 (2024), pp. 1-14

The yield on the 10-year U.S. Treasury Note is among the most cited interest rates by investors, policymakers, and fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a proxy for uncertainty about future interest rates, is a...

Persistent link: https://www.econbiz.de/10014530189

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 Portfolio von Treasury-Futures erzielt. Empirisch untermauern wir auch die Behauptung …

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

On the Effects of Private Information on Volatility

Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - School of Economics and Management, University of Aarhus - 2012

We study the impact of private information on volatility. We develop a comprehensive framework to investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and private information on prices and the effect of public information on...

Persistent link: https://www.econbiz.de/10009652371

On the Effects of Private Information on Volatility

Opschoor, Anne; van der Wel, Michel; van Dijk, Dick; … - 2011

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and private information on prices and the effects of...

Persistent link: https://www.econbiz.de/10010325972

On the Effects of Private Information on Volatility

Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - Tinbergen Instituut - 2011

Persistent link: https://www.econbiz.de/10011255523

On the effects of private information on volatility

Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - 2011 - This version: May 9, 2011

Persistent link: https://www.econbiz.de/10011386466

Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes

van der Wel, Michel; Menkveld, Albert; Sarkar, Asani - 2009

noisily observed trade times. We apply this method to a high-frequency dataset of the 30Y U.S. treasury futures to investigate …

Persistent link: https://www.econbiz.de/10010326072

Are market makers uninformed and passive? Signing trades in the absence of quotes

van der Wel, Michel; Menkveld, Albert J.; Sarkar, Asani - 2009

this method to a high-frequency data set of thirty-year U.S. Treasury futures to investigate the role of the market maker …

Persistent link: https://www.econbiz.de/10010287125

Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes

Wel, Michel van der; Menkveld, Albert; Sarkar, Asani - Tinbergen Institute - 2009

noisily observed trade times. We apply this method to a high-frequency dataset of the 30Y U.S. treasury futures to investigate …

Persistent link: https://www.econbiz.de/10005016273

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

International Monetary Fund (IMF); International … - 2009

This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals. As in mature bond markets, macroeconomic surprises in external emerging bond markets are found to aÂ¤ect both conditional...

Persistent link: https://www.econbiz.de/10008528627