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Macroeconomic surprises and short-term behaviour in bond futures · Study

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ArticleMacroeconomic surprises and short-term behaviour in bond futures

David Veredas2005

Article2005

Macroeconomic surprises and short-term behaviour in bond futures

27 citations·0/0 files stored·Empirical Economics

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Market Dynamics and Volatility

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 1965The Distributed Lag Between Capital Appropriations and Expenditures 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market 1993Stock Prices, News, and Business Conditions

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2011A Survey of Announcement Effects on Foreign Exchange Volatility and Jumpsarticle · 8 shared references 2007Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discoveryarticle · 6 shared references 2010Jumps, cojumps and macro announcementsarticle · 5 shared references 2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Marketsreport · 5 shared references 2002Time-varying liquidity in foreign exchangearticle · 5 shared references 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchangereport · 5 shared references

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Year2005

Typearticle

Published2005-11-19

VenueEmpirical Economics

ISSN-L0377-7332

Languageen

Citations27

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/s00181-005-0002-y

openalex_workW2123333894

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