Interest Rate Futures Dynamics with Macroeconomics Announcements : Tick by Tick Evidence from the Japanese Market

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Interest Rate Futures Dynamics with Macroeconomics Announcements : Tick by Tick Evidence from the Japanese Market

This study gives a high frequency one- minute tick data analysis of the Japanese 3 month Euroyen LIBOR interest rate futures and 10 year Japanese Government Bond futures markets in response to scheduled macroeconomic announcements for a 9 year period encompassing January 2005 to December 2013. Follo...

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Bibliographic Details
Main Author:	Ramgutty, Deepa Anjali
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2015
Online Access:	https://eprints.nottingham.ac.uk/28591/

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