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From Trade-to-Trade in US Treasuries. (2010). Henry, Ólan ; Dungey, Mardi.
In: Working Papers.
RePEc:tas:wpaper:10446.

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Cited: 3

Citations received by this document

Cites: 32

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Cocites: 50

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Citations received by this document

  1. Cojumping: Evidence from the US Treasury bond and futures markets. (2012). Dungey, Mardi ; Hvozdyk, Lyudmyla .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:5:p:1563-1575.

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  2. Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06). (2010). Dungey, Mardi.
    In: Working Papers.
    RePEc:tas:wpaper:10450.

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  3. HOW DO PUBLIC ANNOUNCEMENTS AFFECT THE FREQUENCY OF TRADING IN U.S. AIRLINE STOCKS?. (2008). Nowak, Sylwia.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2008-38.

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References

References cited by this document

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  32. Zhang, M, Russell, J. and Tsay, R. (2001) A Nonlinear Augoregressive Conditional Model with Applications to Financial Transactions Data, Journal of Econometrics, 104, 179-207. W0 = f0 – t0 W1 = f1 – t1 (= 0) W2 = f2 – t2 t0 f0 t1= f1 t2 f2 t3 x1 = t1 - t0 x2 = t1 - t2 x3 = t3 - t2

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