Information Shocks, Liquidity Shocks, Jumps, and Price...

Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

Jiang, George J., Lo, Ingrid, Verdelhan, Adrien
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Volume:
46
Language:
english
Journal:
Journal of Financial and Quantitative Analysis
DOI:
10.1017/S0022109010000785
Date:
April, 2011
File:
PDF, 350 KB
english, 2011
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