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absence of arbitrage
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asynchronous trading
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bid-ask bounce
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Center for Financial Studies
International Monetary Fund (IMF)
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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EconWPA
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Vertical integration, competition, and financial exchanges: Is there grain in the silo?
Juranek, Steffen
;
Walz, Uwe
-
Center for Financial Studies
-
2010
, consisting of
trading
, clearing and settlement. We thereby focus on firms' decisions but also look on the implications of these …
Persistent link: https://www.econbiz.de/10010958700
Saved in:
2
The diminishing liquidity premium
Ben-Rephael, Azi
;
Kadan, Ohad
;
Wohl, Avi
-
Center for Financial Studies
-
2008
decades to levels that we cannot statistically distinguish from zero. Furthermore, the profitability of
trading
strategies …
Persistent link: https://www.econbiz.de/10010958533
Saved in:
3
A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.
;
Diebold, Francis X.
-
Center for Financial Studies
-
2004
-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous
trading
…
Persistent link: https://www.econbiz.de/10010958542
Saved in:
4
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W.
;
Diebold, Francis X.
-
Center for Financial Studies
-
2004
-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous
trading
…
Persistent link: https://www.econbiz.de/10005600448
Saved in:
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