Showing 1 - 9 of 9
Estimates are made of multi-factor versions of the Cox-Ingersoll-Ross model of the term structure of interest rates using the Kalman filter. Estimates are obtained using weekly UK Gilt-edged market data over the period 1982-1997. Empirical results support the need for a multi-factor model and...
Persistent link: https://www.econbiz.de/10005437705
This article re–examines the extent, if any, of the negative impacts of price limits. I provide fresh evidence supporting, only partially, the criticisms against the efficacy of such price limits. A negative impact of price limits when valid for one group of stocks or direction of price...
Persistent link: https://www.econbiz.de/10011137887
Persistent link: https://www.econbiz.de/10006017526
This Paper examines the price differences between very liquid on-the-run US Treasury securities and less liquid off-the-run securities over the entire on/off cycle. Unlike previous studies, by comparing pairs of securities as their relative liquidity varies over time, we can disregard any...
Persistent link: https://www.econbiz.de/10005666511
Persistent link: https://www.econbiz.de/10005716054
Using high frequency trade data, this paper tests, for the first time, the hypothesis that price limits behave like quot;magnetsquot;, and so, are self-fulfilling. It finds that price limits do not behave like quot;black holesquot; sucking in all stock prices. Also, there is an acceleration of...
Persistent link: https://www.econbiz.de/10012738081
This paper examines the nature of trading between dealers in a competitive dealership bond market where the primary risk factors are driven by public macro-economic information, and for hedging there exist liquid futures contracts as well as numerous close spot market substitutes. We find that,...
Persistent link: https://www.econbiz.de/10012738082
This paper examines the implementation of a simple pairs trading strategy with automatic extreme risk control using the entire universe of securities in the highly liquid secondary market for U.S. government debt. It documents, from a practical viewpoint, the contrasts in the generic features of...
Persistent link: https://www.econbiz.de/10012738083
This paper examines the price differences between very liquid on-the-run U.S. Treasury securities and less liquid off-the-run securities over the entire on/off cycle. By comparing pairs of securities as their relative liquidity varies over time we can disregard any cross-sectional differences...
Persistent link: https://www.econbiz.de/10012740471