Tail Wags Dog? Time-Varying Information Shares in the Bund Market
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- 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.
- 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.
- 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.
- repec:eee:pacfin:v:48:y:2018:i:c:p:35-55 is not listed on IDEAS
- 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
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