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MTS Time Series: Market and Data Description for the European Bond and Repo Database

Alfonso Dufour and Frank Skinner ()
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Frank Skinner: ICMA Centre, University of Reading

ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading

Abstract: MTS Time Series: Market and Data Description for the European Bond and Repo Database Alfonso Dufour and Frank Skinner MTS Time Series is a new source of high frequency and daily data for European fixed income markets. For the first time academic researchers and market practitioners have available a wealth of trading data for a large number of European sovereign bond markets. The database includes data on daily cash and repo trading activity and comprehensive high frequency trade and quote data. This paper discusses specific aspects of the structure of the MTS markets and illustrates the characteristics of the database. In particular, the coverage and the structure of the database are provided.

Pages: 25 pages
Date: 2004-05
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Published in Journal of Applied Econometrics, 2006, 21:2 307-336

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