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• W197202978 abstract "Bond market order ‡ow contains information about future yield changes that is not incorporated into the current yield curve. This paper documents that term structure models that include interdealer order ‡ow outperform traditional term structure models and the random walk both in-sample and out-of-sample. A unique data set, including customer trades and interdealer trades of individual dealers, enables the paper to explore the sources of predictability in interdealer order ‡ow. The results suggest that dealer skill in acquiring and interpreting information can be one source. Predictability appears to be related to dealer activity rather than to dealer size and customer base." @default.
• W197202978 created "2016-06-24" @default.
• W197202978 creator A5002889736 @default.
• W197202978 date "2010-12-23" @default.
• W197202978 modified "2023-09-27" @default.
• W197202978 title "Forecasting short term yield changes using order flow. Is dealer skill a source of predictability" @default.
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• W197202978 hasPublicationYear "2010" @default.
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