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1.
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Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. [...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a si[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, w[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-yea[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus subs[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make t[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility an[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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This study examines the impact of increased transparency, brought about by the introduction of three electronic trading systems, on the brokered interdealer market for Go[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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