We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market but, rather, interacts with price risk, liquidity...

We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory proposed by Cho and Engle (1999). The model shows that spot market illiquidity does not translate one-to-one to the futures market, but rather interacts with price risk,...

We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market but, rather, interacts with price risk, liquidity...

We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory proposed by Cho and Engle (1999). The model shows that spot market illiquidity does not translate one-to-one to the futures market, but rather interacts with price risk,...

We investigate the term structure of bond market illiquidity premia and show that the term structure varies greatly over time. Short and long end are strictly separated suggesting that different economic factors drive different parts of the term structure. We propose a stylized theoretical model...

In this paper we apply statistical inference techniques to build neural network models which are able to explain the prices of call options written on the German stock index DAX. By testing for the explanatory power of several input variables serving as network inputs, some insight into the...

In this paper we apply statistical inference techniques to build neural network models which are able to explain the prices of call options written on the German stock index DAX. By testing for the explanatory power of several input variables serving as network inputs, some insight into the...

In this paper we apply statistical inference techniques to build neural network models which are able to explain the prices of call options written on the German stock index DAX. By testing for the explanatory power of several input variables serving as network inputs, some insight into the...