Search Results - subject:"microstructure" - EconBiz

The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets

Bachmair, Kilian - 2023

Persistent link: https://www.econbiz.de/10013530819

A non-normal framework for price discovery : the Independent Component based Information Shares measure

Zema, Sebastiano Michele - 2023

I propose a new measure of price discovery, which I will refer to as the Independent Component based Information Share (IC-IS). This measure constitutes a variant of the widespread Information Share, with the main difference being it does not suffer the same identification issues. Under the...

Persistent link: https://www.econbiz.de/10013489765

Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2023

Persistent link: https://www.econbiz.de/10014234202

Order flow-based microstructure analysis of the spot exchange rate in Zambia

Phiri, Sydney Chauwa; Chisha, Keegan; Chipili, Jonathan M. - 2023

Persistent link: https://www.econbiz.de/10014416176

Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach

Albert, Pascal; Herold, Michael; Muck, Matthias - In: The journal of futures markets 43 (2023) 12, pp. 1807-1835

Persistent link: https://www.econbiz.de/10014433013

Funding liquidity and stocks' market liquidity : structural estimation from high-frequency data

Aielli, Gian Piero; Pirino, Davide - 2023

Persistent link: https://www.econbiz.de/10014446493

Streaming approach to quadratic covariation estimation using financial ultra-high-frequency data

Holý, Vladimír; Tomanová, Petra - In: Computational economics 62 (2023) 1, pp. 463-485

Persistent link: https://www.econbiz.de/10014327571

A Leland model for delta hedging in central risk books

Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 504-547

Persistent link: https://www.econbiz.de/10014329890

Decentralized finance and central bank communication

Hansson, Magnus - 2023

Persistent link: https://www.econbiz.de/10014310233

Regime-dependent determinants of the uncollateralised overnight rate : the interplay of operating procedure and market microstructure

Edwin Prabu A; Bhattacharyya, Indranil - 2023

Persistent link: https://www.econbiz.de/10014315303

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