Liquidity Dynamics and Cross-Autocorrelations
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Cited by:
- Marsch, I. & Wagner, W.B., 2012.
"Why is Price Discovery in Credit Default Swap Markets News-Specific?,"
Discussion Paper
2012-006, Tilburg University, Center for Economic Research.
- Ian W. Marsh & Wolf Wagner, 2012. "Why is Price Discovery in Credit Default Swap Markets News-Specific?," Tinbergen Institute Discussion Papers 12-033/IV/DSF33, Tinbergen Institute.
- Marsh, Ian W. & Wagner, Wolf, 2012. "Why is price discovery in credit default swap markets news-specific?," Research Discussion Papers 6/2012, Bank of Finland.
- Paolo Pasquariello & Clara Vega, 2015. "Strategic Cross-Trading in the U.S. Stock Market," Review of Finance, European Finance Association, vol. 19(1), pages 229-282.
- Takaki Hayashi & Yuta Koike, 2017. "No arbitrage and lead-lag relationships," Papers 1712.09854, arXiv.org.
- Gerig, Austin & Michayluk, David, 2017.
"Automated liquidity provision,"
Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 1-13.
- Austin Gerig & David Michayluk, 2010. "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers 1007.2352, arXiv.org.
- Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
- Nyborg, Kjell G. & Östberg, Per, 2014.
"Money and liquidity in financial markets,"
Journal of Financial Economics, Elsevier, vol. 112(1), pages 30-52.
- Kjell G. NYBORG & Per OSTBERG, 2010. "Money and Liquidity in Financial Markets," Swiss Finance Institute Research Paper Series 10-25, Swiss Finance Institute.
- Nyborg, Kjell G & Östberg, Per, 2010. "Money and Liquidity in Financial Markets," CEPR Discussion Papers 7905, C.E.P.R. Discussion Papers.
- Gao, George P. & Moulton, Pamela C. & Ng, David T., 2017. "Institutional ownership and return predictability across economically unrelated stocks," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 45-63.
- Palani-Rajan Kadapakkam & Timothy Krause & Yiuman Tse, 2013. "Exchange Traded Funds, Size-Based Portfolios, And Market Efficiency," Working Papers 0214fin, College of Business, University of Texas at San Antonio.
- Thomas Conlon & John Cotter & Ramazan Gençay, 2015. "Long-run international diversification," Working Papers 201502, Geary Institute, University College Dublin.
- Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
- Das, Sanjiv & Kalimipalli, Madhu & Nayak, Subhankar, 2014. "Did CDS trading improve the market for corporate bonds?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 495-525.
- Stavros Degiannakis & Andreas Andrikopoulos & Timotheos Angelidis & Christos Floros, 2013. "Return dispersion, stock market liquidity and aggregate economic activity," Working Papers 166, Bank of Greece.
- Hayashi, Takaki & Koike, Yuta, 2019. "No arbitrage and lead–lag relationships," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.
- Mohammed S. Khaled & Stephen P. Keef, 2014.
"On the dynamics of international stock market efficiency,"
Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-11, December.
- Khaled, Mohammed & Keef, Stephen, 2011. "On the dynamics of international stock market efficiency," Working Paper Series 1991, Victoria University of Wellington, School of Economics and Finance.
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