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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
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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
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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
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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