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The financial origins of non-fundamental risk
Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2021
Persistent link: https://www.econbiz.de/10013188054
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Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012489163
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Flight-to-liquidity, market uncertainty, and the actions of mutual fund investors
Ben-Rephael, Azi - In: Journal of financial intermediation 31 (2017), pp. 30-44
Persistent link: https://www.econbiz.de/10011822426
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Chapter 18. Macro, Money, and Finance : A Continuous-Time Approach
Brunnermeier, M.K.; Sannikov, Y. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1497-1545). 2016
(1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility … Paradox. Concepts such as (4) illiquidity and liquidity mismatch, (5) endogenous leverage, (6) the Paradox of Prudence, (7 …) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis. Financial …
Persistent link: https://www.econbiz.de/10014024265
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Fire sales forensics : measuring endogenous risk
Cont, Rama; Wagalath, Lakshithe - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 835-866
Persistent link: https://www.econbiz.de/10011583806
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Does high-frequency trading increase systemic risk?
Jain, Pankaj K.; Jain, Pawan; McInish, Thomas H. - In: Journal of financial markets 31 (2016), pp. 1-24
Persistent link: https://www.econbiz.de/10011722257
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Who moved my liquidity? : liquidity evaporation in emerging markets in periods of financial uncertainty
Múnera, Daimer J.; Agudelo, Diego A. - In: Journal of international money and finance 129 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10013448950
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In search of economic reality under the veil of financial markets
Falkinger, Josef - 2014
This paper presents a general equilibrium model with technological uncertainty, financial markets and imperfect information. The future consists of uncertain environments that are more or less clearly distinguishable (measurable). This limits the possibilities of specialization and...
Persistent link: https://www.econbiz.de/10010360332
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Toward a unified framework of credit creation
Becke, Susanne von der; Sornette, Didier - 2014
contraction in credit and to liquidity spirals. Subsequent measures by policymakers can be interpreted as attempts to avoid …
Persistent link: https://www.econbiz.de/10010337985
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When do central counterparties enhance market stability?
Marshall, David Aaron; Ruffini, Ivana; Anene, Dominic - In: The journal of financial market infrastructures 6 (2017/2018) 2/3, pp. 131-162
Persistent link: https://www.econbiz.de/10011912396