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11-077/4 - On the Effects of Private Information on Volatility

  • Authors
    Anne Opschoor, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Nick Taylor, Cardiff University
  • Publication date
    May 12, 2011
  • Keywords
    Information, macroeconomic announcements, order flow, Treasury futures, heterogeneity
  • JEL
    G14; E1
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