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Foreign exchange order flow as a risk factor
Burnside, Craig, (2023)
High Frequency Market Microstructure Noise Estimates and Liquidity Measures
Ait-Sahalia, Yacine, (2008)
Private information flow and price discovery in the US treasury market
Jiang, George J., (2014)
Tests and properties of variance rations in microstructure studies
Ronen, Tavy, (1997)
Observable consequences of trading structure differences : on the use of variance ratios in microstructure studies
Ronen, Tavy, (2003)
The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis
Hotchkiss, Edith S., (2002)