SMEAL WIKI

Liquidity and volatility in the U.S. Treasury market

Giang Nguyen, Robert F. Engle, Michael J. Fleming, Éric Ghysels
Year2020
VenueJournal of Econometrics
Typearticle
Citations36
DOI10.1016/j.jeconom.2019.12.002
OpenAlexW2998793004

Topics

Financial Risk and Volatility ModelingMarket liquidityLiquidity crisisVolatility (finance)Liquidity riskEconomics