Information shocks, liquidity shocks, jumps, and price discovery: Evidence from the U.S. Treasury market

Journal of Financial and Quantitative Analysis

Volumn 46, Issue 2, 2010, Pages 527-551

  Jiang, George J ^a   Lo, Ingrid ^b   Verdelhan, Adrien ^c  

^a UNIVERSITY OF ARIZONA   (United States)

^b BANK OF CANADA   (Canada)

^c MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79956098921     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.1017/S0022109010000785     Document Type: Article

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