Liquidity and volatility in the US treasury market
Year of publication: |
2020
|
---|---|
Authors: | Nguyen, Giang H. ; Engle, Robert F. ; Fleming, Michael J. ; Ghysels, Eric |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 2, p. 207-229
|
Subject: | Volatility | Liquidity | Liquidity-at-risk | Log-ACD models | Treasury market | Volatilität | Liquidität | USA | United States | Staatspapier | Government securities | Öffentliche Anleihe | Public bond |
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