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

Do price jumps matter in volatility forecasts of US treasury futures?

Zhang, Xueer; Hung, Jui-Cheng; Chiu, Chien-Liang - 2025

Persistent link: https://www.econbiz.de/10015376629

Modeling volatility in dynamic term structure models

Doshi, Hitesh; Jacobs, Kris; Liu, Rui - In: Journal of financial economics 161 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015075688

Uncertainty about interest rates and the real economy

Qadan, Mahmoud; Shuval, Kerem; David, Or - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014485443

Economic policy uncertainty and volatility of treasury futures

Zhang, Maojun; Zhao, Yang; Nan, Jiangxia - In: Review of derivatives research 25 (2022) 1, pp. 93-107

Persistent link: https://www.econbiz.de/10013191386

Treasury yield implied volatility and real activity

Cremers, Martijn; Fleckenstein, Matthias; Gandhi, Priyank - In: Journal of financial economics 140 (2021) 2, pp. 412-435

Persistent link: https://www.econbiz.de/10012650450

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

Fair value adjusted pricing of mutual funds using treasury futures

Guo, Jiequn - In: Journal of international commerce, economics and policy 9 (2018) 1/2, pp. 1-9

Persistent link: https://www.econbiz.de/10012016678

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