A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market
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References listed on IDEAS
- Alfonso Dufour & Robert F. Engle, 2000.
"Time and the Price Impact of a Trade,"
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More about this item
Keywordsmarket microstructure; spillover effect; commonalities; liquidity; price impact of a trade.;
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-26 (All new papers)
- NEP-EEC-2010-06-26 (European Economics)
- NEP-FMK-2010-06-26 (Financial Markets)
- NEP-MST-2010-06-26 (Market Microstructure)
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