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A time series analysis of aggregate business failure activity and credit conditions

Melicher, Ronald W. - In: Journal of economics & business 40 (1988) 4, pp. 319-333

Persistent link: https://www.econbiz.de/10001069780

How does short selling affect liquidity in financial markets?

Blau, Benjamin; Whitby, Ryan J. - In: Finance research letters 25 (2018), pp. 244-250

Persistent link: https://www.econbiz.de/10012003551

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

Chen, Richard - 2017

hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we …. Besides it also enables us to empirically measure aggregate liquidity risks by these test statistics. As byproducts …

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

Asymmetry in Liquidity Pricing in the Cross-Section and Time Series of Corporate Bond Returns

Dienemann, Fabian - 2020

downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

Persistent link: https://www.econbiz.de/10012835834

The discretization filter : a simple way to estimate nonlinear state space models

Farmer, Leland E. - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 41-76

Existing methods for estimating nonlinear dynamic models are either highly computationally costly or rely on local approximations which often fail adequately to capture the nonlinear features of interest. I develop a new method, the discretization filter, for approximating the likelihood of...

Persistent link: https://www.econbiz.de/10012432773

A Markov-switching multifractal inter-trade duration model, with application to US equities

Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342

Persistent link: https://www.econbiz.de/10010255140

Time varying size and liquidity effects in South Asian equity markets : a study of blue-chip industry stocks

Hearn, Bruce - In: International review of financial analysis 19 (2010) 4, pp. 242-257

Persistent link: https://www.econbiz.de/10009272669

Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data

Chen, Richard Y.; Mykland, Per A. - In: Journal of econometrics 200 (2017) 1, pp. 79-103

Persistent link: https://www.econbiz.de/10011897700

Measuring Financial Cycles with a Model-Based Filter : Empirical Evidence for the United States and the Euro Area

Galati, Gabriele - 2016

The financial cycle captures systematic patterns in the financial system and is closely related to the concept of procyclicality of systemic risk. This paper investigates the characteristics of financial cycles using a multivariate model-based filter. We extract cycles using an unobserved...

Persistent link: https://www.econbiz.de/10013000400

Financial distress and the business cycle

Suárez, Javier; Sussman, Oren - In: Oxford review of economic policy 15 (1999) 3, pp. 39-51

Persistent link: https://www.econbiz.de/10001516116