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Forecasting short term yield changes using order flow. Is dealer skill a source of predictability?

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  • Valseth, Siri

    (University of Stavanger)

Abstract

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Suggested Citation

  • Valseth, Siri, 2010. "Forecasting short term yield changes using order flow. Is dealer skill a source of predictability?," UiS Working Papers in Economics and Finance 2010/12, University of Stavanger.
    • Handle: RePEc:hhs:stavef:2010_012
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    File URL: http://www1.uis.no/ansatt/odegaard/uis_wps_econ_fin/uis_wps_2010_12_valseth.pdf
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    References listed on IDEAS

    as
    1. Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    2. Richard Deaves, 1998. "Term Premium Determinants, Return Enhancement and Interest Rate Predictability," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(3‐4), pages 485-499, April.
    3. Richard Deaves, 1998. "Term Premium Determinants, Return Enhancement and Interest Rate Predictability," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(3&4), pages 485-499.
    4. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2008. "The Myth of Long-Horizon Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1577-1605, July.
    5. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-692, September.
    6. Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Jakree Koosakul, 2016. "Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers," PIER Discussion Papers 30, Puey Ungphakorn Institute for Economic Research.
    2. Jakree Koosakul, 2016. "Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers," PIER Discussion Papers 30., Puey Ungphakorn Institute for Economic Research, revised Jun 2016.

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    More about this item

    Keywords

    bonds; order flow;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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