Information shocks, liquidity shocks, jumps, and price discovery : evidence from the US treasury market
Year of publication: |
2011
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Authors: | Jiang, George J. ; Lo, Ingrid ; Verdelhan, Adrien |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 46.2011, 2, p. 527-551
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Subject: | Wertpapierhandel | Securities trading | Staatspapier | Government securities | Wirtschaftslage | Macroeconomic performance | Ankündigungseffekt | Announcement effect | Informationsverbreitung | Information dissemination | Börsenkurs | Share price | Volatilität | Volatility | Schock | Shock | USA | United States | 2004-2007 |
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