Macro Surprises And Short-Term Behaviour In Bond Futures
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Cited by:
- Liebermann, Joelle, 2011. "The Impact of Macroeconomic News on Bond Yields: (In)Stabilities over Time and Relative Importance," Research Technical Papers 7/RT/11, Central Bank of Ireland.
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More about this item
Keywords
US bonds; PDL model; business cycle; macro announcements; bons US; modèle PDL; cycle économique; annonce macroéconomique;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G1 - Financial Economics - - General Financial Markets
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