We study whether news and sentiment about bitcoin regulation, the hacking of bitcoin
exchanges and scheduled macroeconomic news announcements affect the volatility of …

We use recently proposed tests to extract jumps and cojumps from three types of assets:
stock index futures, bond futures, and exchange rates. We then characterize the dynamics of …

How do changes in expected inflation affect gold prices? Using unexpected changes in the
Consumer Price Index (CPI) this paper shows that surprises in the CPI do not affect gold …

This article investigates whether the degree of interdependence between the US and the
euro area has changed with EMU by analysing the effects of monetary policy and …

To date, there has been considerable concern with evaluating the performance of real estate
returns or determining the significance of fundamental state variables. This paper differs …

We investigate the impact of scheduled government announcements relating to six different
macroeconomic variables on the risk and return of three major US financial markets. Our …

This paper highlights the previously neglected role of the futures markets in US Treasury
price discovery. The estimates of 5-and 10-year GovPX spot market information shares …

The dynamics of US Treasury prices may be interrupted by jumps, and cojumps—where
these occur simultaneously across the term structure. This paper finds significant evidence …

We study the response of macroeconomic news on the intraday prices of the Indian
benchmark Government bond. Contrary to the common understanding that the emerging …

This paper investigates the impact of seventeen US macroeconomic announcements on two
broad and representative commodity futures indices. Based on a large sample from 1989 to …