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

2011 ◽  
Author(s):  
Lee A. Smales
Keyword(s):  
Interest Rate ◽  
High Frequency ◽  
Macroeconomic Announcements ◽  
Interest Rate Futures

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

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

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

2008 ◽  
Vol 28 (9) ◽  
pp. 815-844 ◽  
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

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

Interest Rate Futures

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