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Illiquidity transmission in a three-country framework : a conditional approach
Fiesel, Stefan; Uhrig-Homburg, Marliese - In: Schmalenbach business review : sbr 17 (2016) 3/4, pp. 261-284
Persistent link: https://www.econbiz.de/10011634217
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Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market
Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - In: Quantitative finance 18 (2018) 2, pp. 283-293
Persistent link: https://www.econbiz.de/10011906340
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FX spot and swap market liquidity spillovers
Krohn, Ingomar; Sushko, Vladyslav - In: Journal of international money and finance 120 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013417403
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Debt market illiquidity and correlated default risk
Javadi, Siamak; Mollagholamali, Mohsen - In: Finance research letters 26 (2018), pp. 266-273
Persistent link: https://www.econbiz.de/10012005695
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The reward for trading illiquid maturities in credit default swap markets
Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389
Persistent link: https://www.econbiz.de/10011572470
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Spillover effects between liquidity risks through endogenous debt maturity
Wei, Xu; Xiao, Xiao; Zhou, Yi; Zhou, Yimin - In: Journal of financial markets 64 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10014466260
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How does sovereign bond market integration relate to fundamentals and CDS spreads?
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016
We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...
Persistent link: https://www.econbiz.de/10011618981
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The impact of funding liquidity on market quality
Chen, Wei Peng; Lin, Shu Ling; Lu, Jun; Wu, Chih-Chiang - In: The North American journal of economics and finance : a … 44 (2018), pp. 153-166
Persistent link: https://www.econbiz.de/10012036530
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Uncovering the time-varying relationship between commonality in liquidity and volatility
Chuliá, Helena; Koser, Christoph; Uribe, Jorge - In: International review of financial analysis 69 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012316887
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The dynamics and determinants of liquidity connectedness across financial asset markets
Liew, Ping-Xin; Lim, Kian-Ping; Goh, Kim-leng - In: International review of economics & finance : IREF 77 (2022), pp. 341-358
Persistent link: https://www.econbiz.de/10013332382