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Over-the-counter trade and the value of assets as collateral
Geromichalos, Athanasios; Lee, Jiwon; Lee, Seungduck; … - In: Economic theory : official journal of the Society for … 62 (2016) 3, pp. 443-475
Persistent link: https://www.econbiz.de/10011528796
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Intermediation in over-the-counter markets with price transparency
Gabrovski, Miroslav; Kospentaris, Ioannis - In: Journal of economic theory 198 (2021), pp. 1-48
Persistent link: https://www.econbiz.de/10012818842
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A model of endogenous direct and indirect asset liquidity
Geromichalos, Athanasios; Jung, Kuk Mo; Lee, Seungduck; … - In: European economic review : EER 132 (2021), pp. 1-25
Persistent link: https://www.econbiz.de/10012693133
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Out-of-sample analysis of international reserves for emerging economies with a dynamic panel model
Jung, Kuk Mo; Pyun, Ju Hyun - In: Panoeconomicus 67 (2020) 5, pp. 675-695
Persistent link: https://www.econbiz.de/10012621243
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Who values economist forecasts? : evidence from trading in treasury markets
James, Robert; Jarnecic, Elvis; Leung, Henry - In: Journal of financial intermediation 49 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013184464
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The anatomy of buyer-seller dynamics in decentralized markets
Giovannetti, Andrea - In: International review of financial analysis 77 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012806426
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Essays on the market structure and pricing of credit derivatives
Junge, Benjamin - 2016
This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets …. Traditionally, credit derivatives are traded in relatively opaque over-thecounter markets in which trading is segmented and subject … credit derivatives markets without affecting their segmented structures. …
Persistent link: https://www.econbiz.de/10011903108
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Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 1-33, 105-123). 2016
The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity factor that is constructed from returns on index...
Persistent link: https://www.econbiz.de/10011903311
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Market structure and transaction costs of index CDSs
Junge, Benjamin; Collin-Dufresne, Pierre; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 35-68, 125-167). 2016
-Frank regulations that made all-to-all trading possible had the potential to break up the market’s segmented structure but failed to do …
Persistent link: https://www.econbiz.de/10011903312
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Index CDS trading costs around the introduction of SEFs
Junge, Benjamin - In: Essays on the market structure and pricing of credit …, (pp. 69-103, 185-173). 2016
The third chapter documents a decline of transaction costs and profits from liquidity provision in the index CDS market over a two-and-a-half-year period during which Dodd-Frank regulations were implemented. Transaction costs and profits from liquidity provision declined around the introduction...
Persistent link: https://www.econbiz.de/10011903316