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Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
16 references·1 citing·42 second hop
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References

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  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
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  • 1983Price Movements and Price Discovery in Futures and Cash Markets641 cited
  • 1976Market microstructure555 cited
  • 2004Economic News and the Impact of Trading on Bond Prices413 cited
  • 1992Trading Volume and Serial Correlation in Stock Returns254 cited
  • 2001Measuring Treasury Market Liquidity227 cited
  • 1979Dominant and Satellite Markets: A Study of Dually-Traded Securities154 cited
  • 2001An Econometric Model of the Yield Curve with Macroeconomic Jump Effects124 cited
  • 1990Bond Markets, Analysis and Strategies109 cited
  • 2003How is Macro News Transmitted to Exchange Rates?

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Cited by

  • 2005Riding the Yield Curve21 cited