Jurksas, Linas; Teresiene, Deimante; Kanapickiene, Rasa - In: Economies : open access journal 9 (2021) 1/35, pp. 1-22
The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed...