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

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  • Jiang, George J.
  • Lo, Ingrid
  • Verdelhan, Adrien

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 46 (2011)
Issue (Month): 02 (April)
Pages: 527-551

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Handle: RePEc:cup:jfinqa:v:46:y:2011:i:02:p:527-551_00

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Cited by:
  1. Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, vol. 17(C), pages 121-149.
  2. Dungey, Mardi & Hvozdyk, Lyudmyla, 2010. "Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)," Working Papers 10450, University of Tasmania, School of Economics and Finance, revised 14 Jul 2010.
  3. Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007. "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers 2007-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  4. Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George, 2012. "Volatility spillovers and the effect of news announcements," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2260-2273.
  5. Mardi Dungey & Lyudmyla Hvozdyk, 2010. "Cojumping: Evidence from the US Treasury Bond and Futures Markets," NCER Working Paper Series 56, National Centre for Econometric Research, revised 20 Jul 2010.
  6. Robert Engle & Michael Fleming & Eric Ghysels & Giang Nguyen, 2012. "Liquidity, volatility, and flights to safety in the U.S. treasury market: evidence from a new class of dynamic order book models," Staff Reports 590, Federal Reserve Bank of New York.
  7. M. Frömmel & X. Han & F. Van Gysegem, 2013. "News, Liquidity Dynamics and Intraday Jumps: Evidence from the HUF/EUR market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/848, Ghent University, Faculty of Economics and Business Administration.
  8. Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers 2013-02, University of Tasmania, School of Economics and Finance, revised 28 Mar 2013.
  9. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014. "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 443-459.
  10. Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers 10446, University of Tasmania, School of Economics and Finance, revised 01 May 2010.

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