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

SSRN Electronic Journal ◽

10.2139/ssrn.1570824 ◽

2010 ◽

Cited By ~ 2

Author(s):

C. Johan Bjursell ◽

George H. K. Wang ◽

Robert I. Webb

Keyword(s):

Interest Rate ◽

Futures Markets ◽

Trading Activity ◽

Macroeconomic Announcements ◽

Interest Rate Futures

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

Asia-Pacific Journal of Financial Studies ◽

10.1111/ajfs.12028 ◽

2013 ◽

Vol 42 (5) ◽

pp. 689-723 ◽

Cited By ~ 5

Author(s):

Johan Bjursell ◽

George H. K. Wang ◽

Robert I. Webb

Keyword(s):

Interest Rate ◽

Futures Markets ◽

Trading Activity ◽

Macroeconomic Announcements ◽

Interest Rate Futures

Market structure and microstructure, in international interest rate futures markets

Research in International Business and Finance ◽

10.1016/j.ribaf.2009.12.005 ◽

2010 ◽

Vol 24 (3) ◽

pp. 253-266 ◽

Cited By ~ 2

Author(s):

Frank McGroarty ◽

Owain ap Gwilym ◽

Steve Thomas

Keyword(s):

Interest Rate ◽

Market Structure ◽

Futures Markets ◽

Interest Rate Futures ◽

Structure And Microstructure

Inventive Activity in Futures Markets: A Case Study of the Development of the First Interest Rate Futures Market

American Journal of Agricultural Economics ◽

10.2307/1240310 ◽

1980 ◽

Vol 62 (5) ◽

pp. 1044-1044 ◽

Cited By ~ 1

Author(s):

Richard L. Sandor ◽

Howard Sosin

Keyword(s):

Interest Rate ◽

Futures Markets ◽

Futures Market ◽

Inventive Activity ◽

Interest Rate Futures

Interest-Rate Futures Markets and Applications to Sukuks

Islamic Capital Markets ◽

10.1002/9781119199106.ch10 ◽

2015 ◽

pp. 317-351

Keyword(s):

Interest Rate ◽

Futures Markets ◽

Interest Rate Futures

Interest Rate Futures Markets and Capital Market Theory

10.1515/9783110903300 ◽

1986 ◽

Cited By ~ 1

Author(s):

Klaus Kobold

Keyword(s):

Interest Rate ◽

Capital Market ◽

Futures Markets ◽

Market Theory ◽

Interest Rate Futures ◽

Capital Market Theory

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

Journal of Futures Markets ◽

10.1002/fut.10105 ◽

2003 ◽

Vol 23 (12) ◽

pp. 1125-1158 ◽

Cited By ~ 8

Author(s):

Carl Chiarella ◽

Thuy-Duong Tô

Keyword(s):

Interest Rate ◽

International Comparison ◽

Futures Markets ◽

Interest Rate Futures

Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements

Journal of Business Finance &amp Accounting ◽

10.1111/1468-5957.00219 ◽

1998 ◽

Vol 25 (7&8) ◽

pp. 921-944 ◽

Cited By ~ 11

Author(s):

M. Buckle ◽

O. ap Gwilym ◽

S.H. Thomas ◽

M.S. Woodhams

Keyword(s):

Interest Rate ◽

Futures Markets ◽

Index Futures ◽

Macroeconomic Announcements ◽

Equity Index Futures ◽

Empirical Regularities ◽

Equity Index

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

Journal of Futures Markets ◽

10.1002/fut.3990150505 ◽

1995 ◽

Vol 15 (5) ◽

pp. 573-584 ◽

Cited By ~ 34

Author(s):

G. Geoffrey Booth ◽

Yiuman Tse

Keyword(s):

Interest Rate ◽

Long Memory ◽

Futures Markets ◽

Cointegration Analysis ◽

Fractional Cointegration ◽

Interest Rate Futures

Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns

Journal of Futures Markets ◽

10.1002/fut.20336 ◽

2008 ◽

Vol 28 (9) ◽

pp. 815-844 ◽

Cited By ~ 5

Author(s):

Dimitrios D. Thomakos ◽

Tao Wang ◽

Jingtao Wu ◽

Russell P. Chuderewicz

Keyword(s):

Interest Rate ◽

Covariance Structure ◽

Macroeconomic Announcements ◽

Interest Rate Futures ◽

The Interest Rate

Normal backwardation in short-term interest rate futures markets

Journal of Futures Markets ◽

10.1002/(sici)1096-9934(199612)16:8<899::aid-fut4>3.0.co;2-h ◽

1996 ◽

Vol 16 (8) ◽

pp. 899-913 ◽

Cited By ~ 2

Author(s):

Tim Krehbiel ◽

Roger Collier

Keyword(s):

Interest Rate ◽

Futures Markets ◽

Short Term ◽

Interest Rate Futures