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Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market. (2008). Verdelhan, Adrien ; Lo, Ingrid ; Jiang, George J..
In: Staff Working Papers.
RePEc:bca:bocawp:08-22.

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Cited: 3

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Cites: 25

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Cocites: 23

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Coauthors: 0

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Citations

Citations received by this document

  1. News, Liquidity Dynamics and Intraday Jumps: Evidence from the HUF/EUR market. (2013). Van Gysegem, Frederick ; Frömmel, Michael ; Han, X. ; FRoMMEL, M..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:13/848.

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  2. Do jumps mislead the FX market?. (2012). Laurent, Sébastien ; Gnabo, Jean-Yves ; Lecourt, Christelle.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:10:p:1521-1532.

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  3. Robust estimation of intraweek periodicity in volatility and jump detection. (2011). Laurent, Sébastien ; Croux, Christophe ; Boudt, Kris.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:353-367.

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References

References cited by this document

  1. AIt-Sahalia, Y., 2002, Telling From Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion, Journal of Finance 57, 2075-2112.

  2. Alt-S ahalia, Y., and J. Jacod, 2007, Testing for Jumps in a Discretely Observed Process, forthcoming Annals of Statistics.
    Paper not yet in RePEc: Add citation now
  3. Andersen, T. G., T. Bollerslev, F. X. Diebold,and C. Vega, 2003, Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets, Working Paper, University of Pennsylvania.

  4. Andersen, T. G., T. Bollerslev, F. X. Diebold,and P. Labys, 2003, Modeling and Forecasting Realized Volatility, Econometrica, 71(2), 579-625.

  5. Balduzzi, P., E. Elton, and C. Green, 2001, Economic News and Bond Prices: Evidence From the U.S. Treasury Market, Journal of Financial and Quantitative Analysis, 36, 523-543.

  6. Bandi, F. M.,and T. H. Nguyen, 2003, On the Functional Estimation of Jump-Diffusion Models, Journal of Econometrics, 116 (1-2), 293-328.

  7. Barndorff-Nielsen, 0. E., and N. Shephard, 2004, Power and Bipower Variation with Stochastic Volatility and Jumps, Journal of Financial Econometrics, 2, 148 (with discussion).

  8. Barndorff-Nielsen, 0. E., and N. Shephard, 2006, Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation, Journal of Financial Econometrics, 4, 130.

  9. Beber, A.,and M. Brandt, 2006, Resolving Macroeconomic Uncertainty in Stock and Bond Markets, Working paper Duke University.

  10. Cao, C., 0. Hansch and X. Wang, 2004, The Informational Content of an Open Limit Order Book, Working paper.
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  11. Carr, P., and L. Wu, 2003, What Type of Process Underlies Options? A Simple Robust Test, Journal of Finance 58, 258 1-2610.

  12. Dungey, M., M. MacKenzie and and V. Smith, 2007, Empirical Evidence on Jumps in the Term Structure of the US Treasury Market, Working Paper Fleming, M., and B. Mizrach, 2007, The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform, Working Paper.

  13. Fleming, M., and E. Remolona, 1997, What Moves the Bond Market? Federal Reserve Bank of New York Economic Policy Review, Vol. 3, No. 4.

  14. Fleming, M., and E. Remolona, 1999, Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information, Journal of Finance, 54, 1901-1915.

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  16. Hautsch, N, D. Hess and C. Mueller Price Adjustment to News with Uncertain Precision, Working Paper, 2005.
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  17. Jacod, J., and A. N. Shiryaev, 1987, Limit Theorems for Stochastic Processes. Springer, Berlin.
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  18. Jacod, J., and A. N. Shiryaev, 2003, Limit Theorems for Stochastic Processes. Spinger-Verlag, Berlin, 2nd edn.
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  19. Jiang, G. and R. Oomen, 2007, A New Test of Jumps in Asset Prices, forthcoming Journal of Econometrics.
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  20. Johannes, M., 2004, The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models, Journal of Finance, 59 (1), 227 - 260.

  21. Kavajecz, K., and E. Odders-While, 1999, Technical Analysis and Liquidity Provision, Review of Financial Studies, 14, No.4 1043-107 1.
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  22. Kim, O.,and R. Verrechia, 1997, Pre-announcement and Event-Period Information , Journal of Accounting and Economics, 24, 395 .-419.
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  23. Layaye, A., S.Laurent and C. Neely, 2007, Jumps, Cojumps and Macro Announcements, Working Paper Federal Reserve Bank of St. Louis.

  24. Lee, S. S., and P. A. Mykland, 2007, Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics, Review of Financial Studies, 20, forthcoming.
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  25. Menkvel, A., A.Sarkar and M. Van Der Wel, 2006, The Informativeness of Customer Order Flow following Macroeconomic Announcements: Evidence from Treasury Futures Markets, Working Paper.
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Cocites

Documents in RePEc which have cited the same bibliography

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  3. Some Recent Developments in Nonparametric Finance. (2013). Hong, Yongmiao ; CAI, ZONGWU.
    In: Working Papers.
    RePEc:wyi:wpaper:002011.

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  4. Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach. (2013). SONG, ZHAOGANG ; Chen, Bin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:83-107.

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  5. On the jump activity index for semimartingales. (2012). Jing, Bing-Yi ; Liu, Zhi ; Kong, Xin-Bing ; Mykland, Per .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:166:y:2012:i:2:p:213-223.

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  6. The ECB Monetary Policy and the Current Financial Crisis. (2011). Zikes, Filip ; Karamanou, Pany ; Theodosiou, Marina ; Kleanthous, Lena .
    In: Working Papers.
    RePEc:cyb:wpaper:2011-1.

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  7. The small-maturity smile for exponential Levy models. (2011). Figueroa-Lopez, Jose E. ; Forde, Martin .
    In: Papers.
    RePEc:arx:papers:1105.3180.

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  8. Detecting jumps from Lévy jump diffusion processes. (2010). Hannig, Jan ; Lee, Suzanne S..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:2:p:271-290.

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  9. Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility. (2008). Chen, Gongmeng ; Choi, Yoon K. ; Zhou, Yong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:143:y:2008:i:2:p:227-262.

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  10. Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market. (2008). Verdelhan, Adrien ; Lo, Ingrid ; Jiang, George J..
    In: Staff Working Papers.
    RePEc:bca:bocawp:08-22.

    Full description at Econpapers || Download paper

  11. Why Does Implied Risk Aversion Smile?. (2007). Ziegler, Alexandre.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:20:y:2007:i:3:p:859-904..

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  12. Structural estimation of jump-diffusion processes in macroeconomics. (2007). Posch, Olaf.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-23.

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  13. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000005.

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  14. Pricing currency options in the presence of time-varying volatility and non-normalities. (2006). Martin, Vance ; Lim, Guay.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:16:y:2006:i:3:p:291-314.

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  15. Does Employment Protection Create Its Own Political Support?. (2006). Bruegemann, Bjoern ; Brugemann, Bjorn .
    In: Working Papers.
    RePEc:ecl:yaleco:20.

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  16. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11775.

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  17. Disentangling diffusion from jumps. (2004). Ait-Sahalia, Yacine.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:74:y:2004:i:3:p:487-528.

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  18. Risikoadjustierte Performance von Private Equity-Investitionen. (2004). Groh, Alexander.
    In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
    RePEc:dar:wpaper:21382.

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  19. The American put and European options near expiry, under Levy processes. (2004). Levendorskii, Sergei .
    In: Papers.
    RePEc:arx:papers:cond-mat/0404103.

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  20. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility. (2003). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-025.

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  21. Intertemporal asset pricing theory. (2003). Duffie, Darrell.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-11.

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  22. Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models. (2003). Woerner Jeannette H. C., .
    In: Statistics & Risk Modeling.
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  23. Why does Implied Risk Aversion Smile?. (2002). Ziegler, Alexandre.
    In: FAME Research Paper Series.
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