liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took … examines the liquidity of the secondary market for four German benchmark government bonds during this period. The analysis is … bonds in Germany. This feature is particularly attractive for the bond market, where OTC transactions account for most …

liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took … examines the liquidity of the secondary market for four German benchmark government bonds during this period. The analysis is … bonds in Germany. This feature is particularly attractive for the bond market, where OTC transactions account for most …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational Volatility …

reflect information-driven and noise-induced volatilities.We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- effcient return ; macroeconomic announcements ; microstructure noise ; informational volatility …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …