Jumps and Information Asymmetry in the US Treasury Market
Year of publication: |
2016
|
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Authors: | Dumitru, Ana-Maria ; Urga, Giovanni |
Publisher: |
Kiel und Hamburg : ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft |
Subject: | Jumps | High Frequency Data | Jump Tests | US Treasury Market | Macroeconomic News | Information Asymmetry |
Type of publication: | Book / Working Paper |
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Type of publication (narrower categories): | Preprint |
Language: | English |
Other identifiers: | 857196006 [GVK] hdl:10419/130148 [Handle] RePEc:zbw:esprep:130148 [RePEc] |
Classification: | G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; C01 - Econometrics ; C51 - Model Construction and Estimation |
Source: |
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Jumps and information asymmetry in the US treasury market
Dumitru, Ana-Maria H., (2016)
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Jumps and Information Asymmetry in the US Treasury Market
Dumitru, Ana-Maria H., (2016)
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Todorov, Viktor, (2010)
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Identifying jumps in financial assets : a comparison between nonparametric jump tests
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