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Testing the empirical performance of stochastic volatility models of the short-term interest rate
Bali, Turan G. - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 2, pp. 191-215
Persistent link: https://www.econbiz.de/10001510057
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Herding on noise : the case of Johnson Redbooks's weekly retail sales data
Golec, Joseph - In: Journal of financial and quantitative analysis : JFQA 32 (1997) 3, pp. 367-381
Persistent link: https://www.econbiz.de/10001230898
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Market manipulation, price bubbles, and a model of the US Treasury securities auction market
Chatterjea, Arkadev - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 2, pp. 255-289
Persistent link: https://www.econbiz.de/10001246906
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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
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Are treasury securities free of default?
Nippani, Srinivas; Liu, Pu; Schulman, Craig T. - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 2, pp. 251-265
Persistent link: https://www.econbiz.de/10001626027
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Economic news and bond prices : evidence from the US treasury market
Balduzzi, Pierluigi; Elton, Edwin J.; Green, Tracy Clifton - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 4, pp. 523-543
Persistent link: https://www.econbiz.de/10001651573
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Day-of-the-week effects in financial futures : an analysis of GNMA, T-bond, T-note, and T-bill contracts
Tashjian, Elizabeth - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 1, pp. 23-44
Persistent link: https://www.econbiz.de/10001102371
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The effect of transaction size on off-the-run treasury prices
Babbel, David F.; Merrill, Craig B.; Meyer, Mark F.; … - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 3, pp. 595-611
Persistent link: https://www.econbiz.de/10002233851
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Information shocks, liquidity shocks, jumps, and price discovery : evidence from the US treasury market
Jiang, George J.; Lo, Ingrid; Verdelhan, Adrien - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 2, pp. 527-551
Persistent link: https://www.econbiz.de/10009153191
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The term structure of bond market liquidity and its implications for expected bond returns
Goyenko, Ruslan; Subrahmanyam, Avanidhar; Ukhov, Andrey - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 1, pp. 111-139
Persistent link: https://www.econbiz.de/10008991268