Korn, Olaf; Krischak, Paolo; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2014
We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge … theory proposed by Cho and Engle (1999). The model shows that spot market illiquidity does not translate one-to-one to the …