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Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models
Engle, Robert F., Fleming, Michael J., Ghysels, Eric, Nguyen, GiangAnnée:
2012
Langue:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2195655
Fichier:
PDF, 934 KB
english, 2012