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~type_genre:"Article in journal"
~subject:"Derivative"
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ECONIS (ZBW)
44
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1
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
2
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
Saved in:
3
Economic policy uncertainty and volatility of treasury futures
Zhang, Maojun
;
Zhao, Yang
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 93-107
Persistent link: https://www.econbiz.de/10013191386
Saved in:
4
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
Saved in:
5
Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao
;
Ye, Xiaoxia
;
Yu, Fan
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
Saved in:
6
Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach
Liu, Hsiang-Hsi
;
Wang, Teng-Kun
;
Li, Weny
- In:
Research in international business and finance
48
(
2019
),
pp. 381-396
Persistent link: https://www.econbiz.de/10012135956
Saved in:
7
Hedging the treasury lock
Pucci, Mario
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 301-324
Persistent link: https://www.econbiz.de/10012210202
Saved in:
8
The pricing and efficiency of Australian treasury bond futures
Frino, Alex
;
He, William Peng
;
Lepone, Andrew
- In:
Australasian accounting business and finance journal : AABF
8
(
2014
)
2
,
pp. 3-14
Persistent link: https://www.econbiz.de/10010520035
Saved in:
9
An empirical study on effects of US treasury futures market on the KTB futures market and its information transfer effect : mainly after the global financial crisis
Kim, Sung-Hyun
;
Park, Sang-Bum
- In:
International journal of economics and finance
7
(
2015
)
12
,
pp. 262-267
Persistent link: https://www.econbiz.de/10011411841
Saved in:
10
From pit to electronic trading : impact on price volatility of U.S. treasury futures
Orłowski, Lucjan T.
- In:
Review of financial economics : RFE
25
(
2015
),
pp. 3-9
Persistent link: https://www.econbiz.de/10011498204
Saved in:
11
Determinants of mortgage interest rates : treasuries versus swaps
Sirmans, C. Stace
;
Smith, Stanley D.
;
Sirmans, G. Stacy
- In:
The journal of real estate finance and economics
50
(
2015
)
1
,
pp. 34-51
Persistent link: https://www.econbiz.de/10010486912
Saved in:
12
The nature and impact of the market forecasting errors in the Federal funds futures market
Dunbar, Kwamie
;
Amin, Abu S.
- In:
The North American journal of economics and finance : a …
31
(
2015
),
pp. 174-192
Persistent link: https://www.econbiz.de/10011514207
Saved in:
13
Does federal funds futures rate contain information about the treasury bill rate?
Kishor, N. Kundan
;
Marfatia, H. A.
- In:
Applied financial economics
23
(
2013
)
16/18
,
pp. 1311-1324
Persistent link: https://www.econbiz.de/10010259457
Saved in:
14
The time-varying response of foreign stock markets to US monetary policy surprises : evidence from the Federal funds futures market
Kishor, N. Kundan
;
Marfatia, Hardik A.
- In:
Journal of international financial markets, …
24
(
2013
),
pp. 1-24
Persistent link: https://www.econbiz.de/10009726483
Saved in:
15
Options on federal funds futures and interest rate volatility
Sultan, Jahangir
- In:
The journal of futures markets
32
(
2012
)
4
,
pp. 330-359
Persistent link: https://www.econbiz.de/10010218777
Saved in:
16
Cojumping : evidence from the US Treasury bond and futures markets
Dungey, Mardi H.
;
Hvozdyk, Lyudmyla
- In:
Journal of banking & finance
36
(
2012
)
5
,
pp. 1563-1575
Persistent link: https://www.econbiz.de/10009615791
Saved in:
17
US Treasury STRIPS : an arbitrage illustration for the classroom
Cole, C. Steven
;
Braswell, Michael K.
- In:
Journal of business and economic perspectives
37
(
2011
)
1
,
pp. 8-12
Persistent link: https://www.econbiz.de/10009314171
Saved in:
18
Delivery options and convexity in Treasury bond and note futures
Grieves, Robin
;
Marcus, Alan J.
;
Woodhams, Adrian
- In:
Review of financial economics : RFE
19
(
2010
)
1
,
pp. 1-7
Persistent link: https://www.econbiz.de/10008652927
Saved in:
19
Trader exploitation of order flow information during the LTCM crisis
Cai, Fang
- In:
The journal of financial research
32
(
2009
)
3
,
pp. 261-284
Persistent link: https://www.econbiz.de/10003966447
Saved in:
20
Intraday serial correlation and the predictability of returns in the US treasury note futures market
Cusatis, Patrick James
;
Kulkarni, Mukund S.
;
Thomas, Martin
- In:
Banking and finance review
1
(
2009
)
1
,
pp. 35-50
Persistent link: https://www.econbiz.de/10008936749
Saved in:
21
An analysis of the failed muncipal bond and note futures contracts
Cusatis, Patrick James
- In:
The journal of futures markets
28
(
2008
)
7
,
pp. 656-679
Persistent link: https://www.econbiz.de/10003715118
Saved in:
22
Improving the design of treasury bond futures contracts
Oviedo, Rodolfo
- In:
The journal of business : B
79
(
2006
)
3
,
pp. 1293-1316
Persistent link: https://www.econbiz.de/10003336994
Saved in:
23
Exchange-traded fixed-income derivatives in asset management and asset-liability management
Goltz, Felix
;
Martellini, Lionel
;
Ziemann, Volker
- In:
The journal of fixed income
16
(
2006
)
1
,
pp. 39-54
Persistent link: https://www.econbiz.de/10003376584
Saved in:
24
The nontradability premium of derivatives contracts
Eldor, Rafi
;
Hauser, Shmuel
;
Kahn, Michael
;
Kamara, Avraham
- In:
The journal of business : B
79
(
2006
)
4
,
pp. 2067-2097
Persistent link: https://www.econbiz.de/10003378537
Saved in:
25
Do behavioral biases affect prices?
Coval, Joshua
;
Shumway, Tyler
- In:
The journal of finance : the journal of the American …
60
(
2005
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10002645568
Saved in:
26
The near-collapse of LTCM, US financial stock returns, and the fed
Kabir, M.Humayun
;
Hassan, M. Kabir
- In:
Journal of banking & finance
29
(
2005
)
2
,
pp. 441-460
Persistent link: https://www.econbiz.de/10002485314
Saved in:
27
Delivery options and treasury-bond futures hedge rations
Grieves, Robin
;
Marcus, Alan J.
- In:
The journal of derivatives : the official publication …
13
(
2005
)
2
,
pp. 70-76
Persistent link: https://www.econbiz.de/10003299554
Saved in:
28
A model for convexity-based cross-hedges with treasury futures
Chen, Andrew H.
;
Kang, Joseph C.
;
Yang, Baochen
- In:
The journal of fixed income
15
(
2005
)
3
,
pp. 68-79
Persistent link: https://www.econbiz.de/10003303950
Saved in:
29
Macroeconomic surprises and short-term behaviour in bond futures
Veredas, David
- In:
Empirical economics : a journal of the Institute for …
30
(
2005
)
4
,
pp. 843-866
Persistent link: https://www.econbiz.de/10003233767
Saved in:
30
Impact of futures on comovements between European cross-listed equities
Koulakiotis, Athanasios
;
Lyroudi, Katerina
;
Dasilas, …
- In:
Journal of financial management and analysis : …
18
(
2005
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10003167708
Saved in:
31
Monetary policy expectations and forward premia
Alsterlind, Jan
;
Dillén, Hans
- In:
Sveriges Riksbank economic review
(
2005
)
2
,
pp. 39-53
Persistent link: https://www.econbiz.de/10003001554
Saved in:
32
Price discovery in the pits : the role of market makers on the CBOT and the Sydney futures exchange
Frino, Alex
;
Harris, Frederick H. deB.
;
McInish, Thomas H.
- In:
The journal of futures markets
24
(
2004
)
8
,
pp. 785-804
Persistent link: https://www.econbiz.de/10002138812
Saved in:
33
The policy anticipation hypothesis : evidence from the federal funds futures market
Burger, John D.
- In:
Contemporary economic policy : a journal of Western …
22
(
2004
)
4
,
pp. 544-554
Persistent link: https://www.econbiz.de/10002397070
Saved in:
34
The impact of time duration between trades on the price of treasury note futures contracts
Holder, Mark E.
;
Qi, Min
;
Sinha, Amit K.
- In:
The journal of futures markets
24
(
2004
)
10
,
pp. 965-980
Persistent link: https://www.econbiz.de/10002190264
Saved in:
35
An overlooked coupon effect in treasury futures contracts
Grieves, Robin
;
Mann, Steven V.
- In:
The journal of derivatives : the official publication …
12
(
2004
)
2
,
pp. 56-61
Persistent link: https://www.econbiz.de/10002536242
Saved in:
36
An examination of the impact of macroeconomic news on the spot and futures treasuries markets
Simpson, Marc W.
;
Ramchander, Sanjay
- In:
The journal of futures markets
24
(
2004
)
5
,
pp. 453-478
Persistent link: https://www.econbiz.de/10002012490
Saved in:
37
The impact of changes in FOMC disclosure practices on the transparency of monetary policy : are markets and the FOMC better "synched"?
Poole, William
;
Rasche, Robert H.
- In:
Review / Federal Reserve Bank of St. Louis
85
(
2003
)
1
,
pp. 1-9
Persistent link: https://www.econbiz.de/10001784780
Saved in:
38
Options on bond futures : isolating the risk premium
Tompkins, Robert G.
- In:
The journal of futures markets
23
(
2002
)
2
,
pp. 169-215
Persistent link: https://www.econbiz.de/10001762673
Saved in:
39
Pricing treasury inflation protected securities and related derivatives using an HJM model
Jarrow, Robert A.
;
Yildirim, Yildiray
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
2
,
pp. 337-356
Persistent link: https://www.econbiz.de/10001766868
Saved in:
40
Financial innovation and tahe role of derivative securities : an empirical analysis of the Treasury STRIPS program
Grinblatt, Mark
;
Longstaff, Francis A.
- In:
The journal of finance : the journal of the American …
55
(
2000
)
3
,
pp. 1415-1436
Persistent link: https://www.econbiz.de/10001497630
Saved in:
41
Financial innovation in Taiwan : the engineering of treasury bond margin contracts
Chow, Edward H.
;
Liu, Pu
- In:
Advances in Pacific Basin financial markets
5
(
1999
),
pp. 25-43
Persistent link: https://www.econbiz.de/10001493493
Saved in:
42
Pricing and quality option in Japanese government bond futures
Lin, Bing-Huei
;
Chen, Ren-Raw
;
Chou, Jian-Hsin
- In:
Applied financial economics
9
(
1999
)
1
,
pp. 51-65
Persistent link: https://www.econbiz.de/10001363838
Saved in:
43
The spillover effects of the trading suspension of the treasury bond futures market in China
Poon, Winnie P. H.
;
Firth, Michael Anthony
;
Fung, Hung-gay
- In:
Journal of international financial markets, …
8
(
1998
)
2
,
pp. 205-218
Persistent link: https://www.econbiz.de/10001402108
Saved in:
44
A LIBOR-based approach to modeling the mortgage basis
Goodman, Laurie Sharon
- In:
The journal of fixed income
8
(
1998
)
2
,
pp. 29-35
Persistent link: https://www.econbiz.de/10001252730
Saved in:
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