High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures

2019 ◽  
Vol 39 (11) ◽  
pp. 1394-1434
Author(s):  
Jing Nie
Keyword(s):  
Interest Rate ◽  
High Frequency ◽  
Price Discovery ◽  
Price Efficiency ◽  
Interest Rate Futures

The truth about interest rate futures and forwards: Evidence from high frequency data

2008 ◽  
Vol 18 (3) ◽  
pp. 319-336 ◽  
Author(s):  
Russell Poskitt
Keyword(s):  
Interest Rate ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Interest Rate Futures

Short-Term Interest Rate Futures as Monetary Policy Forecasts

2008 ◽  
Author(s):  
Giuseppe Ferrero ◽  
Andrea Nobili
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Short Term ◽  
Interest Rate Futures

High-Frequency Price Discovery of Gold

2017 ◽  
Author(s):  
Joerg Picard
Keyword(s):  
High Frequency ◽  
Price Discovery

Interest Rate Futures

Derivatives ◽  
2017 ◽  
pp. 88-112
Keyword(s):  
Interest Rate ◽  
Interest Rate Futures

scholarly journals Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework

1995 ◽  
Author(s):  
Ramaprasad Bhar ◽  
Carl Chiarella
Keyword(s):  
Interest Rate ◽  
Interest Rate Futures
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