The microstructure of the U.S. treasury market
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- de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019.
"OTC discount,"
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- de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
- Havran, Dániel & Erb, Tamás, 2015. "Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája [Trading mechanisms and market frictions. Microstructure of the financial markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-262.
- Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020.
"Liquidity and volatility in the U.S. Treasury market,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
- Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen, 2012. "Liquidity and volatility in the U.S. treasury market," Staff Reports 590, Federal Reserve Bank of New York.
- George Jiang & Ingrid Lo & Giorgio Valente, 2014. "High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market," Staff Working Papers 14-56, Bank of Canada.
- Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
- George Jiang & Ingrid Lo & Adrien Verdelhan, 2008. "Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market," Staff Working Papers 08-22, Bank of Canada.
- S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.
- Seth Kopchak, 2014. "The absorption effect of US Treasury auctions," Review of Quantitative Finance and Accounting, Springer, vol. 43(1), pages 21-44, July.
- Ajit Dayanandan & Jai Chander & N. R. V. V. M. K. Rajendra Kumar, 2023. "Size and liquidity of government securities in India," Indian Economic Review, Springer, vol. 58(1), pages 71-90, June.
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More about this item
Keywords
Government securities;NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2008-01-05 (Financial Markets)
- NEP-MST-2008-01-05 (Market Microstructure)
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