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Trading catalysts : how events move markets and create trading opportunities

Webb, Robert I. - 2007

Persistent link: https://www.econbiz.de/10003333068

Jumps and Trading Activity in Interest Rate Futures Markets : The Response to Macroeconomic Announcements

Bjursell, C. Johan - 2010

We apply nonparametric statistical procedures to extract jumps around scheduled macroeconomic news in U.S. Treasury bond, U.S. Treasury note and Eurodollar futures prices from 2001 to 2004. Volatility and trading activity during announcement days with jumps versus no jumps are also analyzed with...

Persistent link: https://www.econbiz.de/10013146808

Jumps and trading activity in interest rate futures markets : the response to macroeconomic announcements

Bjursell, Johan; Wang, George H. K.; Webb, Robert I. - In: Asia-Pacific journal of financial studies 42 (2013) 5, pp. 689-723

Persistent link: https://www.econbiz.de/10010249006

Shock markets : trading lessons for volatile times

Webb, Alexander; Webb, Robert I. - 2013 - 1. ed.

Persistent link: https://www.econbiz.de/10009748059

Market microstructure effects on volatility at the TAIFEX

Webb, Robert I.; Muthuswamy, Jayaram; Segara, Reuben - In: The journal of futures markets 27 (2007) 12, pp. 1219-1243

Persistent link: https://www.econbiz.de/10003627207

Market microstructure effects on volatility at the TAIFEX

Webb, Robert I.; Muthuswamy, Jayaram; Segara, Reuben - 2007

Persistent link: https://www.econbiz.de/10003684134

Volatility dynamics under an endogenous Markov-switching framework : a cross-market approach

Song, Wonho; Ryu, Doojin; Webb, Robert I. - In: Quantitative finance 18 (2018) 9, pp. 1559-1571

Persistent link: https://www.econbiz.de/10011913204

Do derivative markets contain useful information for signaling "hot money" flows?

Fung, Joseph K. W.; Webb, Robert I.; Chan, Wing Hong - In: Asia-Pacific journal of financial studies 46 (2017) 3, pp. 491-527

Persistent link: https://www.econbiz.de/10011736133

Price jump risk in the US housing market

Webb, Robert I.; Yang, Jian; Zhang, Jin - In: The journal of real estate finance and economics 53 (2016) 1, pp. 29-49

Persistent link: https://www.econbiz.de/10011647445

The price impact of futures trades and their intraday seasonality

Webb, Robert I.; Ryu, Doojin; Ryu, Doowon; Han, Joongho - In: Emerging markets review 26 (2016), pp. 80-98

Persistent link: https://www.econbiz.de/10011670875