• ''An Empirical Analysis Of Stock And Bond Market Liquidity'' - Ebook
• This paper explores liquidity movements in stock and Treasury bond markets over a
period of more than 1800 trading days. Cross-market dynamics in liquidity are
documented by estimating a vector autoregressive model for liquidity (that is, bid-ask
spreads and depth), returns, volatility, and order flow in the stock and bond markets...
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