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Pelizzon, Loriana
McAleer, Michael
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ECONIS (ZBW)
68
EconStor
13
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9
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51
Coming early to the party
Bellia, Mario
;
Pelizzon, Loriana
;
Subrahmanyam, Marti G.
; …
-
2017
-
This Version: September 15, 2017
others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve
liquidity
. They …
Persistent link: https://www.econbiz.de/10011723400
Saved in:
52
Sovereign credit risk,
liquidity
, and European Central Bank intervention : Deus ex machina?
Pelizzon, Loriana
;
Subrahmanyam, Marti G.
;
Tomio, Davide
; …
- In:
Journal of financial economics
122
(
2016
)
1
,
pp. 86-115
Persistent link: https://www.econbiz.de/10011590889
Saved in:
53
Central bank-driven mispricing
Pelizzon, Loriana
;
Subrahmanyam, Marti G.
;
Tomio, Davide
; …
-
2018
-
This version: October 2018
: the deterioration of bond market
liquidity
, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10012062155
Saved in:
54
Paying for market
liquidity
: competition and incentives
Bellia, Mario
;
Pelizzon, Loriana
;
Subrahmanyam, Marti G.
; …
-
2019
Do competition and incentives offered to designated market makers (DMMs) improve market
liquidity
? Using data from NYSE … in rebates and requirements for DMMs, do not have any tangible effect on market
liquidity
. Our results are of relevance …
Persistent link: https://www.econbiz.de/10012062186
Saved in:
55
Paying for market
liquidity
: competition and incentives
Bellia, Mario
;
Pelizzon, Loriana
;
Subrahmanyam, Marti G.
; …
-
2019
Do competition and incentives offered to designated market makers (DMMs) improve market
liquidity
? Using data from NYSE … changes in rebates and requirements for DMMs, do not have any tangible effect on market
liquidity
. Our results are of …
Persistent link: https://www.econbiz.de/10011987269
Saved in:
56
Credit scoring in SME asset-backed securities : an Italian case study
Bedin, Andrea
;
Billio, Monica
;
Costola, Michele
; …
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
2/89
,
pp. 1-28
We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European DataWarehouse platform and employ a logistic...
Persistent link: https://www.econbiz.de/10012022072
Saved in:
57
Buildings' energy efficiency and the probability of mortgage default : the Dutch case
Billio, Monica
;
Costola, Michele
;
Pelizzon, Loriana
; …
-
2019
-
This draft: October 14, 2019
In this paper, we investigate the relation between buildings' energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional building energy ratings that are calculated by the...
Persistent link: https://www.econbiz.de/10012109899
Saved in:
58
Credit scoring in SME asset-backed securities : an Italian case study
Bedin, Andrea
;
Billio, Monica
;
Costola, Michele
; …
-
2019
We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European DataWarehouse platform and employ a logistic...
Persistent link: https://www.econbiz.de/10012111366
Saved in:
59
Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market
Schneider, Michael
;
Lillo, Fabrizio
;
Pelizzon, Loriana
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 283-293
Persistent link: https://www.econbiz.de/10011906340
Saved in:
60
Central bank-driven mispricing
Pelizzon, Loriana
;
Subrahmanyam, Marti G.
;
Tomio, Davide
; …
-
2018
-
This version: August 2018
: the deterioration of bond market
liquidity
, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10011892699
Saved in:
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