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Price Formation and Liquidity in the U.S. Treasury Market: Evidence from Intraday Patterns Around Announcements
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Price Formation and Liquidity in the U.S. Treasury Market: Evidence from Intraday Patterns Around Announcements (2006)Price Formation and Liquidity in the U.S.…Minute-by-minute dynamics of the Australian bond futures market in response to new macroeconomic information (2001)Minute-by-minute dynamics of …On the Estimation of Security Price Volatilities from Historical Data (1980)How Markets Process Information: News Releases and Volatility (1993)Differential Information and Dynamic Behavior of Stock Trading Volume (1995)
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  • 2001Minute-by-minute dynamics of the Australian bond futures market in response to new macroeconomic information18 cited

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