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Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
Jarrow, Robert A. - In: Mathematics and financial economics 13 (2019) 1, pp. 115-146
Persistent link: https://www.econbiz.de/10012055755
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Asset pricing and hedging in financial markets with fixed and proportional transaction costs
Babaei, Esmaeil - In: Annals of finance 20 (2024) 2, pp. 259-275
Persistent link: https://www.econbiz.de/10014566422
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Parametric yield curve modeling in an illiquid and undeveloped financial market
Zoricic, Davor; Orsag, Silvije - In: UTMS journal of economics / University of Tourism and … 4 (2013) 3, pp. 243-252
This paper examines the possibility of applying two most popular parametric yield curve models (Nelson-Siegel and Svensson) in the Croatian financial market. In such an illiquid and undeveloped financial market yield curve modeling presents a special challenge primarily regarding the available...
Persistent link: https://www.econbiz.de/10010222884
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What drives stock market underreaction to liquidity shocks? : evidence from Korea
Jang, Jeewon - In: Asia-Pacific journal of financial studies 51 (2022) 1, pp. 44-80
Persistent link: https://www.econbiz.de/10013161902
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The impact of media attention on the illiquidity of stocks : evidence from the global FinTech Sector
Gaar, Eduard; Moritz, Valentin; Schiereck, Dirk - In: Credit and capital markets : Kredit und Kapital 54 (2021) 4, pp. 589-639
Persistent link: https://www.econbiz.de/10012939037
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A structural model of market friction with time-varying volatility
Buccheri, Giuseppe; Grassi, Stefano; Vocalelli, Giorgio - 2021
Persistent link: https://www.econbiz.de/10012489003
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Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
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Market fragmentation and contagion
Rahi, Rohit; Zigrand, Jean-Pierre - 2020
Persistent link: https://www.econbiz.de/10012487364
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Market fragmentation and contagion
Rahi, Rohit; Zigrand, Jean-Pierre - 2020
Persistent link: https://www.econbiz.de/10012259262
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An elementary exposition of the no strong arbitrage principle for financial markets
Becker, Robert Allen - 2017
Persistent link: https://www.econbiz.de/10011688412