Menkveld, Albert J.; Cheung, Yiu Chung; Jong, Frank de - 2004
-Pierre Danthine (University of Lausanne), Vitor Gaspar (ECB), Philipp Hartmann
(ECB), Jan Pieter Krahnen (Center for Financial Studies … oftentimes ignored in daily analyses, but should not be as is evident
from equity studies (see, e.g., George and Hwang (2001 … treasury auctions for several euro-
10
Unlike many other studies that require the imperfect Lee and Ready (1991) algorithm
to …