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Search: subject:"weighted spread"
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asset liquidity
4
price impact
4
weighted spread
4
Börsenkurs
2
Value-at-Risk
2
Wertpapierhandel
2
Xetra Liquidity Measure (XLM)
2
Xetra liquidity measure (XLM)
2
liquidity cost
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market liquidity risk
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Deutschland
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Marktrisiko
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Risikomaß
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Wertpapieranalyse
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English
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Kaserer, Christoph
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Stange, Sebastian
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Fakultät für Wirtschaftswissenschaften, Technische Universität München
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CEFS Working Paper Series
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EconStor
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The impact of order size on stock liquidity: a representative study
Stange, Sebastian
;
Kaserer, Christoph
-
2008
aspect using the Xetra Liquidity Measure (XLM), which calculates daily,
weighted
spread
for impatient traders transacting …
Persistent link: https://www.econbiz.de/10010305721
Saved in:
2
Why and how to integrate liquidity risk into a VaR-framework
Stange, Sebastian
;
Kaserer, Christoph
-
2008
We integrate liquidity risk measured by the
weighted
spread
into a Value-at-Risk (VaR) framework. The
weighted
spread
…
Persistent link: https://www.econbiz.de/10010305731
Saved in:
3
The impact of order size on stock liquidity: a representative study
Stange, Sebastian
;
Kaserer, Christoph
-
Fakultät für Wirtschaftswissenschaften, Technische …
-
2008
aspect using the Xetra Liquidity Measure (XLM), which calculates daily,
weighted
spread
for impatient traders transacting …
Persistent link: https://www.econbiz.de/10009219914
Saved in:
4
Why and how to integrate liquidity risk into a VaR-framework
Stange, Sebastian
;
Kaserer, Christoph
-
Fakultät für Wirtschaftswissenschaften, Technische …
-
2008
We integrate liquidity risk measured by the
weighted
spread
into a Value-at-Risk (VaR) framework. The
weighted
spread
…
Persistent link: https://www.econbiz.de/10009219930
Saved in:
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