The ex-ante liquidity embedded in an open Limit Order Book (LOB) and its dynamics have been one of the most important issues in financial research and evolves with the development of financial infrastructure. Using the tick-by-tick data and the reconstructed open LOB data from the Xetra trading...

We study regime switching features of liquidity risk in corporate bond premiums. Within a sample period ranging from July 2002 to April 2015, we first compute a liquidity risk index for BBB bonds, which considers various liquidity risk facets based on principal component analysis. Second, we...

We model the evolution of the ex-ante weighted spread (EWS) embedded in an open Limit Order Book (LOB) and investigate the impact of observed market-related variables on the spread. Our modeling involves decomposing the joint distribution of the weighted spread into simple and interpretable...