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Search: subject:"weighted spread"
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asset liquidity
4
price impact
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weighted spread
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Xetra Liquidity Measure (XLM)
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market liquidity risk
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Ex-ante weighted spread
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Kaserer, Christoph
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Stange, Sebastian
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Zhou, Xiaozhou
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Fakultät für Wirtschaftswissenschaften, Technische Universität München
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1
The dynamics of ex-ante
weighted
spread
: an empirical analysis
Dionne, Georges
;
Zhou, Xiaozhou
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 593-617
Persistent link: https://www.econbiz.de/10012194909
Saved in:
2
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:
3
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:
4
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:
5
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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