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~institution:"Université Paris-Dauphine (Paris IX)"
~source:"repec"
~subject:"volatility"
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volatility
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Université Paris-Dauphine (Paris IX)
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
18
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Economics Papers from University Paris Dauphine
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Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market
Idier, Julien
;
Avouyi-Dovi, Sanvi
-
Université Paris-Dauphine (Paris IX)
-
2010
are used as collateral both in the open market operations of the
ECB
and on the interbank market. We use a time …-varying transition probability (TVTP) VAR model considering both the
monetary
policy
cycle and the cycle of French treasury auctions. We … highlight the existence of a specific regime in which
monetary
policy
neutrality is not verified on the market for French bonds …
Persistent link: https://www.econbiz.de/10010861364
Saved in:
2
Crisis-Robust
Bond
Portfolios
Szafarz, Ariane
;
Brière, Marie
-
Université Paris-Dauphine (Paris IX)
-
2008
Persistent link: https://www.econbiz.de/10011166464
Saved in:
3
Financial Markets Equilibrium with Heterogeneous Agents
Napp, Clotilde
;
Malamud, Semyon
;
Jouini, Elyès
; …
-
Université Paris-Dauphine (Paris IX)
-
2012
shares, the market price of risk, the risk free rate, the
bond
prices at dierent maturities, the stock price and volatility …
Persistent link: https://www.econbiz.de/10010708121
Saved in:
4
Impact des interruptions de cotation sur la microstructure du marché boursier français
Michalon, Karine
-
Université Paris-Dauphine (Paris IX)
-
2003
The purpose of the regulated interruptions of quotation on Stock exchange markets is to reduce asymmetries of information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the French stock exchange market for the values included in the...
Persistent link: https://www.econbiz.de/10010764096
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