scholarly journals Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models

2012 ◽  
Author(s):  
Robert F. Engle ◽  
Michael J. Fleming ◽  
Eric Ghysels ◽  
Giang Nguyen
Keyword(s):  
Order Book ◽  
New Class ◽  
Treasury Market ◽  
The U.S

END-OF-DAY PRICING IN THE U.S. TREASURY MARKET: A COMPARISON OF GovPX AND THE FEDERAL RESERVE BANK OF NEW YORK

2005 ◽  
Vol 28 (1) ◽  
pp. 97-113 ◽  
Author(s):  
Susan D. Jordan ◽  
David R. Kuipers
Keyword(s):  
New York ◽  
Federal Reserve ◽  
Federal Reserve Bank ◽  
Reserve Bank ◽  
Treasury Market ◽  
The U.S

Supply Contraction and Trading Protocol: An Examination of Recent Changes in the U.S. Treasury Market

2002 ◽  
Vol 34 (3b) ◽  
pp. 740-762 ◽  
Author(s):  
Leslie Boni ◽  
J. Chris Leach
Keyword(s):  
Treasury Market ◽  
The U.S

Comment on Supply Contraction and Trading Protocol: An Examination of Recent Changes in the U.S. Treasury Market

2002 ◽  
Vol 34 (3b) ◽  
pp. 763-766
Author(s):  
Sugato Chakravarty
Keyword(s):  
Treasury Market ◽  
The U.S

Treasury Market, Microstructure of the U.S.

2009 ◽  
pp. 863-875
Author(s):  
Bruce Mizrach ◽  
Christopher J. Neely
Keyword(s):  
Market Microstructure ◽  
Treasury Market ◽  
The U.S

Term Structures of Liquidity Premia in the U.S. Treasury Market

2011 ◽  
Author(s):  
Wolfgang Bühler ◽  
Volker Vonhoff
Keyword(s):  
Term Structures ◽  
Treasury Market ◽  
Liquidity Premia ◽  
The U.S

scholarly journals Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

2010 ◽  
Vol 46 (02) ◽  
pp. 527-551 ◽  
Author(s):  
George J. Jiang ◽  
Ingrid Lo ◽  
Adrien Verdelhan
Keyword(s):  
Price Discovery ◽  
Liquidity Shocks ◽  
Treasury Market ◽  
The U.S

scholarly journals Exceptional Paper—A Theory of the U.S. Treasury Market Equilibrium

1980 ◽  
Vol 26 (6) ◽  
pp. 539-569 ◽  
Author(s):  
John Y. Barry ◽  
Herbert F. Ayres
Keyword(s):  
Market Equilibrium ◽  
Treasury Market ◽  
The U.S

scholarly journals Information Shares in the U.S. Treasury Market

2007 ◽  
Author(s):  
Bruce Mizrach ◽  
Christopher J. Neely
Keyword(s):  
Information Shares ◽  
Treasury Market ◽  
The U.S

Economic News and Bond Prices: Evidence from the U.S. Treasury Market

2001 ◽  
Vol 36 (4) ◽  
pp. 523 ◽  
Author(s):  
Pierluigi Balduzzi ◽  
Edwin J. Elton ◽  
T. Clifton Green
Keyword(s):  
Bond Prices ◽  
Economic News ◽  
Treasury Market ◽  
The U.S
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