Browsing Economic and Social Review by Subject "Gilts"
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An econometric assessment of the change in quality of the Irish gilt market since the introduction of market making
(Economic & Social StudiesDublin, 1996)Hasbrouck's (1993) measure of market quality is used to assess the effect of introducing market making in Irish Gilts. The measure is based on aspects of the literature on the decomposition of time series' into stochastic ...