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

Journal of Futures Markets ◽

10.1002/fut.22016 ◽

2019 ◽

Vol 39 (11) ◽

pp. 1394-1434

Author(s):

Jing Nie

Keyword(s):

Interest Rate ◽

High Frequency ◽

Price Discovery ◽

Price Efficiency ◽

Interest Rate Futures

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

SSRN Electronic Journal ◽

10.2139/ssrn.2779646 ◽

2017 ◽

Author(s):

Jing Nie

Keyword(s):

Interest Rate ◽

High Frequency ◽

Price Discovery ◽

Price Efficiency ◽

Interest Rate Futures

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

Global Finance Journal ◽

10.1016/j.gfj.2007.06.003 ◽

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

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Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia

SSRN Electronic Journal ◽

10.2139/ssrn.1975205 ◽

2011 ◽

Author(s):

Lee A. Smales

Keyword(s):

Interest Rate ◽

High Frequency ◽

Macroeconomic Announcements ◽

Interest Rate Futures

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IMPACT OF MACROECONOMIC ANNOUNCEMENTS ON INTEREST RATE FUTURES: HIGH-FREQUENCY EVIDENCE FROM AUSTRALIA

The Journal of Financial Research ◽

10.1111/j.1475-6803.2013.12015.x ◽

2013 ◽

Vol 36 (3) ◽

pp. 371-388 ◽

Author(s):

Lee A. Smales

Keyword(s):

Interest Rate ◽

High Frequency ◽

Macroeconomic Announcements ◽

Interest Rate Futures

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Short-Term Interest Rate Futures as Monetary Policy Forecasts

SSRN Electronic Journal ◽

10.2139/ssrn.1160197 ◽

2008 ◽

Author(s):

Giuseppe Ferrero ◽

Andrea Nobili

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Interest Rate Futures

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Impact of the Introduction of Call Auction on Price Discovery: Evidence from the Indian Stock Market Using High-Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2188542 ◽

2012 ◽

Author(s):

Sobhesh Kumar Agarwalla ◽

Joshy Jacob ◽

Ajay Pandey

Keyword(s):

Stock Market ◽

High Frequency ◽

Price Discovery ◽

High Frequency Data ◽

Frequency Data ◽

Call Auction ◽

Indian Stock Market

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High-Frequency Price Discovery of Gold

SSRN Electronic Journal ◽

10.2139/ssrn.2990010 ◽

2017 ◽

Author(s):

Joerg Picard

Keyword(s):

High Frequency ◽

Price Discovery

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Interest Rate Futures

Derivatives ◽

10.1017/9781108236041.008 ◽

2017 ◽

pp. 88-112

Keyword(s):

Interest Rate ◽

Interest Rate Futures

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Order Imbalance, Market Returns and Macroeconomic News: Evidence from the Australian Interest Rate Futures Market

SSRN Electronic Journal ◽

10.2139/ssrn.1960223 ◽

2011 ◽

Author(s):

Lee A. Smales

Keyword(s):

Interest Rate ◽

Futures Market ◽

Market Returns ◽

Macroeconomic News ◽

Order Imbalance ◽

Interest Rate Futures

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

SSRN Electronic Journal ◽

10.2139/ssrn.882665 ◽

1995 ◽

Author(s):

Ramaprasad Bhar ◽

Carl Chiarella

Keyword(s):

Interest Rate ◽

Interest Rate Futures

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