Embedded Options in Treasury Bond Futures Prices: New Evidence

2009 ◽  
Vol 19 (1) ◽  
pp. 82-95 ◽  
Author(s):  
Ren-Raw Chen ◽  
Hann-Shing Ju ◽  
Shih-Kuo Yeh
Keyword(s):  
Futures Prices ◽  
Treasury Bond ◽  
Embedded Options ◽  
New Evidence ◽  
Bond Futures

Option expirations and treasury bond futures prices

1987 ◽  
Vol 7 (1) ◽  
pp. 49-64 ◽  
Author(s):  
Anand K. Bhattacharya
Keyword(s):  
Futures Prices ◽  
Treasury Bond ◽  
Bond Futures

Analytical bounds for Treasury bond futures prices

2011 ◽  
Vol 39 (2) ◽  
pp. 209-239 ◽  
Author(s):  
Ren-Raw Chen ◽  
Shih-Kuo Yeh
Keyword(s):  
Futures Prices ◽  
Treasury Bond ◽  
Bond Futures

Multifactor and analytical valuation of treasury bond futures with an embedded quality option

2007 ◽  
Vol 27 (3) ◽  
pp. 275-303 ◽  
Author(s):  
João Pedro Vidal Nunes ◽  
Luís Alberto Ferreira De Oliveira
Keyword(s):  
Treasury Bond ◽  
Bond Futures

Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

2009 ◽  
Vol 12 (01) ◽  
pp. 63-85 ◽  
Author(s):  
Weihua Shi ◽  
Larry Eisenberg ◽  
Cheng-few Lee
Keyword(s):  
Stock Exchange ◽  
Japanese Government ◽  
Government Bond ◽  
Calendar Effects ◽  
Announcement Effects ◽  
Volatility Persistence ◽  
Macroeconomic Announcements ◽  
The Us ◽  
Treasury Bond ◽  
Bond Futures

Following Bollerslev et al. (2000), this study characterizes the high-frequency volatility of the Japanese Government Bond (JGB) futures on the Tokyo Stock Exchange (TSE) in terms of intraday calendar effects, announcement effects and volatility persistence effects. The results indicate that, unlike the case for the US Treasury bond futures, only four out of 21 scheduled macroeconomic announcements are found to have a significant impact on volatilities, and their instantaneous and daily influences are rather small. At both instantaneous and daily frequencies, volatility persistence effects have the largest influence on volatility, while macroeconomic announcements have only a negligible impact.

Sign in / Sign up

Export Citation Format

Share Document