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An examination of changes in specialists' posted price schedules

Kavajecz, Kenneth A.; Odders-White, Elizabeth R. - In: The review of financial studies 14 (2001) 3, pp. 681-704

Persistent link: https://www.econbiz.de/10001602973

Price discovery in the US treasury market : the impact of orderflow and liquidity on the Yield curve

Brandt, Michael W. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002022631

Price discovery in the U.S. treasury market : the impact of orderflow and liquidity on the yield curve

Brandt, Michael W.; Kavajecz, Kenneth A. - In: The journal of finance : the journal of the American … 59 (2004) 6, pp. 2623-2654

Persistent link: https://www.econbiz.de/10002502852

Price Discovery in the Treasury Futures Market

Brandt, Michael W.; Underwood, Shane; Kavajecz, Kenneth A. - 2006

We investigate the mechanism by which price discovery takes place within the futures market for U.S Treasury securities. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and futures markets, we compare how orderflow contributes to price discovery as well as...

Persistent link: https://www.econbiz.de/10014054573