Showing 1 - 10 of 50
Persistent link: https://www.econbiz.de/10001656410
Persistent link: https://www.econbiz.de/10001656395
-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads …
Persistent link: https://www.econbiz.de/10001752003
Persistent link: https://www.econbiz.de/10001630846
Persistent link: https://www.econbiz.de/10000966660
Persistent link: https://www.econbiz.de/10001589537
Persistent link: https://www.econbiz.de/10000838778
"This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter...
Persistent link: https://www.econbiz.de/10002521761
Persistent link: https://www.econbiz.de/10001752001
Persistent link: https://www.econbiz.de/10001656406