On the bi-dimensionality of liquidity
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- Iordanis Kalaitzoglou & Boulis Maher Ibrahim, 2010. "Does Order Flow in the European Carbon Allowances Market Reveal Information?," CFI Discussion Papers 1003, Centre for Finance and Investment, Heriot Watt University.
- PASCUAL, Roberto & VEREDAS, David, 2006.
"Does the open limit order book matter in explaining long run volatility ?,"
CORE Discussion Papers
2006110, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Roberto Pascual & David Veredas, 2010. "Does the open limit order book matter in explaining long run volatility?," ULB Institutional Repository 2013/136192, ULB -- Universite Libre de Bruxelles.
- Kalaitzoglou, Iordanis & Ibrahim, Boulis M., 2013. "Does order flow in the European Carbon Futures Market reveal information?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 604-635.
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Keywordsliquidity; measurement; immediacy; depth; elasticity; ambiguity; bi-dimensional;
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