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Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models

Robert Engle, Michael J. Fleming, Éric Ghysels, Giang Nguyen
Year2012
VenueSSRN Electronic Journal
Typearticle
Citations47
DOI10.2139/ssrn.2195655
OpenAlexW2106727130

Topics

Financial Markets and Investment StrategiesMarket liquidityLiquidity crisisLiquidity riskVolatility (finance)Treasury