Information shocks, jumps, and price discovery: Evidence from the US Treasury market
Year of publication: |
2008
|
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Authors: | Jiang, George J. ; Lo, Ingrid ; Verdelhan, Adrien |
Publisher: |
Ottawa : Bank of Canada |
Subject: | Wertpapierhandel | Schatzpapier | Wirtschaftslage | Ankündigungseffekt | Informationsverbreitung | Börsenkurs | Volatilität | Schock | USA | Financial markets |
Series: | Bank of Canada Working Paper ; 2008-22 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.34989/swp-2008-22 [DOI] 577294946 [GVK] hdl:10419/53824 [Handle] RePEc:bca:bocawp:08-22 [RePEc] |
Classification: | G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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