We study the contribution of liquidity to time-series dynamics and cross-sectional variations of Euro area sovereign bond yield spreads. We consider a large sample period covering both the global financial crisis and the European sovereign crisis. Using intraday trade and quote data we construct...

Motivated by findings in the existing literature on the information content of order flows, we specify Probability of Informed Trading – Asymmetric Autoregressive Conditional Duration (PIN-AACD) model to identify the ‘informed state' in the Fixed Income Markets. Using tick-by-tick price and...