Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases

Article Abstract:

The intraday response of T-bond futures prices to surprises in headline figures of U.S. macroeconomic reports is investigated. Several types of information regarding inflation and economic strength are distinguished and the explanatory power of the type of information is tested against the alternative hypothesis that the timeliness of a release determines its impact.

Macroeconomics

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Investigating nonlinear speculation in cattle, corn and hog futures markets using logistic smooth transition regression models

Article Abstract:

The analysis of statistical data from the American futures markets for the period between March 4, 1997 and December 27, 2005 is presented. The usage of logistic smooth transition regression models to explore the nonlinear relation between speculative trading activity and price changes in the American futures markets is described.

Usage, Statistics, Statistics (Data), Econometric models

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The jump component of the volatility structure of interest rates future markets: an international comparison

Article Abstract:

The Shirakawa (1991) model is used to capture the jump component in fixed income markets. The evolution of future prices is used to estimate the model parameters via the 'likelihood transformation' technique of Duan (1994).

Interest Rates, Models, Fixed income securities

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