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Telecoms deflators : a story of volume and revenue weights
Abdirahman, Mo; Coyle, Diane; Heys, Richard; Stewart, Will - In: Economie et statistique 530/531 (2022), pp. 43-59
Persistent link: https://www.econbiz.de/10014246622
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A comparison of deflators for telecommunications services output
Abdirahman, Mo; Coyle, Diane; Heys, Richard; Stewart, Will - In: Economie et statistique 517/518/519 (2020), pp. 107-128
Persistent link: https://www.econbiz.de/10013556948
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Illiquidity, Financial Development and the Growth-Volatility Relationship Illiquidity, Financial Development and the Growth-Volatility Relationship.
Kharroubi, E. - Banque de France - 2006
This paper studies how financial development affects the relation between average growth and growth volatility through liquidity crises. We .first establish in a micro model that imperfect enforceability creates a short term bias in contracts financing long term investments. This can generate...
Persistent link: https://www.econbiz.de/10004998817
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Modèles statistiques de valorisation par arbitrage
Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - 1993
Persistent link: https://www.econbiz.de/10000856380
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Prevision de mesures de prix contingents
Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - 1993
Persistent link: https://www.econbiz.de/10000869422
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Effets "volume" volatilité et transmissions internationales sur les marchés boursiers dans le G5
Avouyi-Dovi, Sanvi; Jondeau, Eric; Lai-Tong, Charles - 1997
Persistent link: https://www.econbiz.de/10000958857
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The capacity of trading strategies
Landier, Augustin; Simon, Guillaume; Thesmar, David - 2015
Due to non-linear transaction costs, the fi nancial performance of a trading strategy decreaseswith portfolio size. Using a dynamic trading model a la Garleanu and Pedersen (2013), wederive closed-form formulas for the performance-to-scale frontier reached by competitive tradersendowed with a...
Persistent link: https://www.econbiz.de/10011327200
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Toxic arbitrage
Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2015
triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and …Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they … expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities …
Persistent link: https://www.econbiz.de/10010499534
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Evaluation de quelques instruments quantos
Bensaïd, Bernard; Bottazzi, Jean-Marc - In: Finance : revue de l'Association Française de Finance 22 (2001) 2, pp. 25-50
Persistent link: https://www.econbiz.de/10001626667