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Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data

Chen, Richard - 2017

In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we investigate the impact of non-stationary microstructure...

Persistent link: https://www.econbiz.de/10012970519

Transfer programs under alternative insurance schemes and liquidity constraints

Bianconi, Marcelo - In: The journal of international trade & economic development 20 (2011) 2, pp. 175-197

Persistent link: https://www.econbiz.de/10008991960

Heterogeneity, adverse selection and valuation with endogenous labor supply

Bianconi, Marcelo - In: International review of economics & finance : IREF 17 (2008) 1, pp. 113-126

Persistent link: https://www.econbiz.de/10003749797

Intertemporal budget policies in an endogenous growth model with nominal assets

Bianconi, Marcelo - In: International review of economics & finance : IREF 8 (1999) 1, pp. 25-43

Persistent link: https://www.econbiz.de/10001427822

The effects of alternative fiscal policies on the intertemporal government budget constraint

Bianconi, Marcelo - In: International review of economics & finance : IREF 9 (2000) 1, pp. 31-52

Persistent link: https://www.econbiz.de/10001481119

Fiscal policy and the terms of trade in an analytical two-country dynamic model

Bianconi, Marcelo - In: International tax and public finance 10 (2003) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10001743744

A dynamic monetary model with costly foreign currency

Bianconi, Marcelo - In: The journal of international trade & economic development 8 (1999) 4, pp. 321-342

Persistent link: https://www.econbiz.de/10001441354

Fiscal policy in a simple two-country dynamic model

Bianconi, Marcelo - In: Journal of economic dynamics & control 19 (1995) 1, pp. 395-419

Persistent link: https://www.econbiz.de/10001172936

On dynamic real trade models

Bianconi, Marcelo - In: Economics letters 47 (1995) 1, pp. 47-52

Persistent link: https://www.econbiz.de/10001175005

Dividend and monetary policy and the differential tax treatment of capital gains in a two-country world

Bianconi, Marcelo - In: Journal of economic integration 9 (1994) 4, pp. 502-524

Persistent link: https://www.econbiz.de/10001177476