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The effects of trade size and market depth on immediate price impact in a limit order book market
Manh Cuong Pham; Anderson, Heather Margot; Huu Nhan Duong; … - In: Journal of economic dynamics & control 120 (2020), pp. 1-27
Persistent link: https://www.econbiz.de/10012503902
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - In: Journal of economic dynamics & control 36 (2012) 4, pp. 501-522
Persistent link: https://www.econbiz.de/10009554343
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Why is equity order flow so persistent?
Tóth, Bence; Palit, Imon; Lillo, Fabrizio; Farmer, J. Doyne - In: Journal of economic dynamics & control 51 (2015), pp. 218-239
Persistent link: https://www.econbiz.de/10011474393
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The federal funds market, excess reserves, and unconventional monetary policy
Güntner, Jochen - In: Journal of economic dynamics & control 53 (2015), pp. 225-250
Persistent link: https://www.econbiz.de/10011526948
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Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
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A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias; Grasselli, Martino; Schlögl, Erik - In: Journal of economic dynamics & control 114 (2020), pp. 1-42
Persistent link: https://www.econbiz.de/10012502563
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Sovereign risk, bank funding and investors' pessimism
Faia, Ester - In: Journal of economic dynamics & control 79 (2017), pp. 79-96
Persistent link: https://www.econbiz.de/10011817603
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Counterparty choice, maturity shifts and market freezes : lessons from the European interbank market
Saroyan, Susanna - In: Journal of economic dynamics & control 160 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014532482
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Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
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Option pricing with discrete time jump processes
Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445
Persistent link: https://www.econbiz.de/10010348134