Tail Wags Dog? Time-Varying Information Shares in the Bund Market
Year of publication: |
2002
|
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Authors: | Upper, Christian ; Werner, Thomas |
Publisher: |
Frankfurt a. M. : Deutsche Bundesbank |
Subject: | Börsenkurs | Zinstermingeschäft | Öffentliche Anleihe | Effizienzmarktthese | Informationsverbreitung | Schätzung | Deutschland | high-frequency data | market microstructure | future markets | information shares | kalman filter |
Series: | Discussion Paper Series 1 ; 2002,24 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 848119193 [GVK] hdl:10419/19581 [Handle] RePEc:zbw:bubdp1:4189 [RePEc] |
Classification: | G14 - Information and Market Efficiency; Event Studies ; C32 - Time-Series Models ; G12 - Asset Pricing |
Source: |
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