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

Author

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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
    as

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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. 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.
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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, revised Jun 2016.

    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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