Extreme correlation of stock and bond futures markets: international evidence
CM Chui, J Yang - Financial Review, 2012 - Wiley Online Library
This study explores time‐varying extreme correlation of stock–bond futures markets in three
major developed countries. In the United States and the United Kingdom, there is evidence …
major developed countries. In the United States and the United Kingdom, there is evidence …
Forecasting bond returns using jumps in intraday prices
JG Duyvesteyn, M Martens, S Safavi Nic - Journal of Fixed Income, 2011 - papers.ssrn.com
We build on the work of Wright and Zhou (2009) who show that the average jump mean in
bond prices can predict excess bond returns, capturing the countercyclical behaviour of risk …
bond prices can predict excess bond returns, capturing the countercyclical behaviour of risk …
The Impact of the Employment Report and Forecasts Thereof on Fixed-Income Markets
L Ederington, W Guan - The Journal of Fixed Income, 2018 - search.proquest.com
The authors examine the impact that the monthly Employment Situation Report issued by the
Bureau of Labor Statistics (BLS) and the analyst forecasts of that report have on the US …
Bureau of Labor Statistics (BLS) and the analyst forecasts of that report have on the US …