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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 F. Engle, Michael J. Fleming, Éric Ghysels, Giang Nguyen
Year2012
VenueEconstor (Econstor)
Typepreprint
Citations3
DOI(no DOI)
OpenAlexW3123388424

Topics

Financial Markets and Investment StrategiesMarket liquidityTreasuryVolatility (finance)Liquidity crisisEconomics