Tail Wags Dog? Time-Varying Information Shares in the Bund Market
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- Christian Upper & Thomas Werner, 2007. "The tail wags the dog: time-varying information shares in the Bund market," BIS Working Papers 224, Bank for International Settlements.
References listed on IDEAS
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More about this item
Keywords
high-frequency data; market microstructure; future markets; information shares; kalman filter;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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