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Illiquidity and higher cumulants
Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto - In: The review of financial studies 36 (2023) 5, pp. 2131-2173
Persistent link: https://www.econbiz.de/10014320614
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Credit rating agencies, information asymmetry and US bond liquidity
Lovo, Stefano M.; Raimbourg, Philippe; Salvadè, Federica - 2022
Persistent link: https://www.econbiz.de/10014479911
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Credit rating agencies, information asymmetry and US bond liquidity
Lovo, Stefano M.; Raimbourg, Philippe; Salvadè, Federica - In: Journal of business finance & accounting : JBFA 49 (2022) 9/10, pp. 1863-1896
Persistent link: https://www.econbiz.de/10013468732
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Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market
Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003760003
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Time and dynamic volume-volatility relation
Xu, Xiaoqing Eleanor; Chen, Peter; Wu, Chunchi - In: Journal of banking & finance 30 (2006) 5, pp. 1535-1558
Persistent link: https://www.econbiz.de/10003319376
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Daily return volatility, bid-ask spreads, and information flow : analyzing the information content of volume
Li, Jinliang; Wu, Chunchi - In: The journal of business : B 79 (2006) 5, pp. 2697-2739
Persistent link: https://www.econbiz.de/10003406554
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Corporate yield spreads and bond liquidity
Chen, Long; Lesmond, David A.; Wei, Jason - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 119-149
Persistent link: https://www.econbiz.de/10003425755
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Essays on the workings and uses of futures markets
Bryant, Henry L. - 2003
Persistent link: https://www.econbiz.de/10003385104
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Essays in liquidity
Moulton, Pamela C. - 2003
Persistent link: https://www.econbiz.de/10003385440
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Predicting bid-ask spreads using long memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011 - This version: July 2011
We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...
Persistent link: https://www.econbiz.de/10009229669