scholarly journals The jump component of the volatility structure of interest rate futures markets: An international comparison

2003 ◽  
Vol 23 (12) ◽  
pp. 1125-1158 ◽  
Author(s):  
Carl Chiarella ◽  
Thuy-Duong Tô
Keyword(s):  
Interest Rate ◽  
International Comparison ◽  
Futures Markets ◽  
Interest Rate Futures

Market structure and microstructure, in international interest rate futures markets

2010 ◽  
Vol 24 (3) ◽  
pp. 253-266 ◽  
Author(s):  
Frank McGroarty ◽  
Owain ap Gwilym ◽  
Steve Thomas
Keyword(s):  
Interest Rate ◽  
Market Structure ◽  
Futures Markets ◽  
Interest Rate Futures ◽  
Structure And Microstructure

Long memory in interest rate futures markets: A fractional cointegration analysis

1995 ◽  
Vol 15 (5) ◽  
pp. 573-584 ◽  
Author(s):  
G. Geoffrey Booth ◽  
Yiuman Tse
Keyword(s):  
Interest Rate ◽  
Long Memory ◽  
Futures Markets ◽  
Cointegration Analysis ◽  
Fractional Cointegration ◽  
Interest Rate Futures

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

2013 ◽  
Vol 42 (5) ◽  
pp. 689-723 ◽  
Author(s):  
Johan Bjursell ◽  
George H. K. Wang ◽  
Robert I. Webb
Keyword(s):  
Interest Rate ◽  
Futures Markets ◽  
Trading Activity ◽  
Macroeconomic Announcements ◽  
Interest Rate Futures

Normal backwardation in short-term interest rate futures markets

1996 ◽  
Vol 16 (8) ◽  
pp. 899-913 ◽  
Author(s):  
Tim Krehbiel ◽  
Roger Collier
Keyword(s):  
Interest Rate ◽  
Futures Markets ◽  
Short Term ◽  
Interest Rate Futures
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