Tail Wags Dog? Time-Varying Information Shares in the Bund Market
Download full text from publisher
References listed on IDEAS
- Gabriel Pérez Quirós & Hugo Rodríguez, 2000.
"The daily market for funds in Europe: Has something changed with the EMU?,"
Economics Working Papers
474, Department of Economics and Business, Universitat Pompeu Fabra.
- Quiro, G.P. & Mendizabal, H.R., 2001. "The Daily Market for Funds in Europe: Has Something Changed with the EMU," Papers 67, Quebec a Montreal - Recherche en gestion.
- Pérez Quirós, Gabriel & Rodríguez Mendizábal, Hugo, 2001. "The daily market for funds in Europe: Has something changed with the EMU?," Working Paper Series 0067, European Central Bank.
- Juan Ayuso & Rafael Repullo, 2003.
"A Model of the Open Market Operations of the European Central Bank,"
Royal Economic Society, vol. 113(490), pages 883-902, October.
- Ayuso, Juan & Repullo, Rafael, 2000. "A Model of the Open Market Operations of the European Central Bank," CEPR Discussion Papers 2605, C.E.P.R. Discussion Papers.
- Ayuso, J. & Repullo, R., 2000. "A Model of the Open Market Operations of the European Central Bank," Papers 0011, Centro de Estudios Monetarios Y Financieros-.
- Juan Ayuso & Rafael Repullo, 2000. "A Model of the Open Market Operations of the European Central Bank," Working Papers 0016, Banco de España;Working Papers Homepage.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001.
"The microstructure of the euro money market,"
Journal of International Money and Finance,
Elsevier, vol. 20(6), pages 895-948, November.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The Microstructure of the Euro Money Market," CEPR Discussion Papers 3081, C.E.P.R. Discussion Papers.
- Hartmann, Philipp & Manna, Michele & Manzanares, Andrés, 2001. "The microstructure of the euro money market," Working Paper Series 0080, European Central Bank.
- Ho, Thomas S Y & Saunders, Anthony, 1985. " A Micro Model of the Federal Funds Market," Journal of Finance, American Finance Association, vol. 40(3), pages 977-988, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ranaldo, Angelo & Rossi, Enzo, 2010.
"The reaction of asset markets to Swiss National Bank communication,"
Journal of International Money and Finance,
Elsevier, vol. 29(3), pages 486-503, April.
- Angelo Ranaldo & Enzo Rossi, 2007. "The reaction of asset markets to Swiss National Bank communication," Working Papers 2007-11, Swiss National Bank.
- Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
- Marc Simpson & Jose Moreno & Teofilo Ozuna, 2012. "The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA," Review of Quantitative Finance and Accounting, Springer, vol. 38(3), pages 347-365, April.
- Frank De Jong & Peter C. Schotman, 2010. "Price Discovery in Fragmented Markets," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(1), pages 1-28, Winter.
- Alexander Schulz & Jelena Stapf, 2011. "Price discovery on traded inflation expectations: does the financial crisis matter?," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 202-231 Bank for International Settlements.
- Mizrach, Bruce & Neely, Christopher J., 2008. "Information shares in the US Treasury market," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1221-1233, July.
- Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
More about this item
Keywordshigh-frequency data; market microstructure; future markets; information shares; kalman filter;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:bubdp1:4189. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics). General contact details of provider: http://edirc.repec.org/data/dbbgvde.html .
We have no references for this item. You can help adding them by using this form .