In this paper, the authors consider a framework in which the cross-sectional and time-series behavior of the yield curve can be studied simultaneously. They examine the relationship between the yield curve and the time-varying conditional volatility of the Treasury bill market. The authors...

This study is largely motivated by the ongoing process to revise the Investment Services Directive (ISD). Perhaps the most important aspect of this process are the consequences of the repeal of Article 14(3) which allows national authorities to stipulate that retail investor orders be executed...

We document that around 95% of the limit orders submitted to the London Stock Exchange (LSE) are cancelled in a short period of time. Based on that, we look at the intensity of limit order cancellations and the effects on market liquidity.We find that the rate of limit order cancellations...

We explain the variation in the degree of specialness for bonds used as collateral in the Italian Government BTP repo market. Some of our results are similar to the findings in the US repo market even though the underlying Italian BTP bond market is structurally different than the US Treasury...

We study the price discovery process in Euro area government bond markets. We analyze the most active German, French, Italian and Spanish sovereign securities traded on the MTS electronic inter-dealer markets for various maturity buckets. We find that the level of contribution to the price...