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Liquidity risk, speculative trade, and the optimal latency of financial markets : conference paper

Fricke, Daniel; Gerig, Austin - 2014

Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large … security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …

Persistent link: https://www.econbiz.de/10010484462

Identifying volatility signals from time-varying simultaneous stock market interaction : conference paper

Strohsal, Till; Weber, Enzo - 2013

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …

Persistent link: https://www.econbiz.de/10010339937

A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Volatility : risk and uncertainty in financial markets

Schwartz, Robert A. (contributor); … - 2011

Persistent link: https://www.econbiz.de/10008760187

The relation between overreaction in forecasts and uncertainty : a nonlinear approach ; conference paper

Leppin, Julian Sebastian - 2014 - This version: February 2014

This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...

Persistent link: https://www.econbiz.de/10010480543

Market microstructure : confronting many viewpoints

Abergel, Frédéric (ed.); … - 2012

Persistent link: https://www.econbiz.de/10009524952

The value of information in asymmetric all-pay auctions : conference paper

Seel, Christian - 2013 - This version: November 12, 2012

This paper analyzes a two-player all-pay auction with incomplete information. More precisely, one bidder is uncertain about the size of the initial advantage of his rival modeled as a head start in the auction. I derive the unique Bayesian Nash equilibrium outcome for a large class of cumulative...

Persistent link: https://www.econbiz.de/10010339410

Challenges in securities markets regulation : investor protection and corporate governance : a joint publication with the CNMV The Comisión Nacional del Mercado de Valores

Gasos, Pablo (ed., introduction); … - Challenges in Securities Markets Regulation: Investor …; … - 2015

On November 14th, 2014, SUERF – The European Money and Finance Forum – and CNMV, Comisión Nacional del Mercado de Valores – the Spanish Authority for supervision of securities markets – jointly organized a conference in Madrid: Challenges in Securities Markets Regulation: Investor...

Persistent link: https://www.econbiz.de/10011712118

Symposium on market microstructure : focus on Nasdaq

Schwert, George William (contributor) - In: Journal of financial economics 45 (1997) 1

Persistent link: https://www.econbiz.de/10001224765

Lecture notes in incomplete markets

Duffie, Darrell (contributor) - 1988

Persistent link: https://www.econbiz.de/10000772948

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