Does maturity matter? The case of treasury futures volume
We find that Treasury futures volume contains information about future economic and financial market conditions. Short- and long-term volumes are economically different: A relatively higher volume in short-term (long-term) Treasury futures is counter-cyclical (procyclical), preceding worse (better)...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley-Liss Inc.
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |