FRÖMMEL, M.; GYSEGEM, F VAN - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2014
We study the tightness of the complete electronic interbank foreign exchange market for the HUF/ EUR over a two year period. First, we review the cost components that a liquidity provider on this type of market faces, and integrate them in an empirical spread decomposition model. Second, we...