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Dale W.R. Rosenthal

Personal Details

First Name:Dale
Middle Name:W.R.
Last Name:Rosenthal
Suffix:
RePEc Short-ID:pro359
[This author has chosen not to make the email address public]
https://sites.google.com/site/dalerosenthal
440 N. Wabash St. #2305 Chicago, IL 60611 USA
Twitter: @dale_rosenthal
Terminal Degree:2008 (from RePEc Genealogy)

Affiliation

Department of Finance
Mendoza College of Business
University of Notre Dame

South Bend, Indiana (United States)
http://www.nd.edu/~finance/
RePEc:edi:dfbndus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Kris Boudt & Ellen C.S. Paulus & Dale W.R. Rosenthal, 2013. "Funding liquidity, market liquidity and TED spread : A two-regime model," Working Paper Research 244, National Bank of Belgium.
  2. Rosenthal, Dale W.R. & Thomas, Nordia Diana Marie, 2012. "Transact taxes in a price maker/taker market," MPRA Paper 40556, University Library of Munich, Germany.
  3. Rosenthal, Dale W.R., 2009. "Performance metrics for algorithmic traders," MPRA Paper 36787, University Library of Munich, Germany, revised 04 Jan 2012.
  4. Rosenthal, Dale W.R., 2009. "Market structure, counterparty risk, and systemic risk," MPRA Paper 36786, University Library of Munich, Germany, revised 19 Dec 2011.
  5. Rosenthal, Dale W.R., 2008. "Approximating correlated defaults," MPRA Paper 36788, University Library of Munich, Germany, revised 15 Feb 2012.
  6. Rosenthal, Dale W.R., 2008. "Modeling Trade Direction," MPRA Paper 10209, University Library of Munich, Germany.

Articles

  1. Boudt, Kris & Paulus, Ellen C.S. & Rosenthal, Dale W.R., 2017. "Funding liquidity, market liquidity and TED spread: A two-regime model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 143-158.
  2. Dale W. R. Rosenthal, 2012. "Modeling Trade Direction," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 390-415, 2012 04.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Kris Boudt & Ellen C.S. Paulus & Dale W.R. Rosenthal, 2013. "Funding liquidity, market liquidity and TED spread : A two-regime model," Working Paper Research 244, National Bank of Belgium.

    Cited by:

    1. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    2. Doojin Ryu & Jinyoung Yu, 2022. "Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
    3. Adeel Riaz & Assad Ullah & Li Xingong, 2024. "Does trade policy uncertainty in China and USA matter for key financial markets?," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-30, April.
    4. Xu, Yanyan & Huang, Dengshi & Ma, Feng & Qiao, Gaoxiu, 2019. "Liquidity and realized range-based volatility forecasting: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1102-1113.
    5. Mansour Ishrakieh, Layal & Dagher, Leila & El Hariri, Sadika, 2018. "The Institute of Financial Economics Financial Stress Index (IFEFSI) for Lebanon," MPRA Paper 116054, University Library of Munich, Germany.
    6. Enoksen, F.A. & Landsnes, Ch.J. & Lučivjanská, K. & Molnár, P., 2020. "Understanding risk of bubbles in cryptocurrencies," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 129-144.
    7. Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," TSE Working Papers 17-814, Toulouse School of Economics (TSE).
    8. Layal MansourIshrakieh & Leila Dagher & Sadika El Hariri, 2020. "A financial stress index for a highly dollarized developing country : The case of Lebanon," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 20(2), pages 43-52.
    9. O’Donnell, Niall & Shannon, Darren & Sheehan, Barry, 2021. "Immune or at-risk? Stock markets and the significance of the COVID-19 pandemic," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    10. Rosenthal, Dale W.R., 2009. "Market structure, counterparty risk, and systemic risk," MPRA Paper 36786, University Library of Munich, Germany, revised 19 Dec 2011.
    11. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
    12. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2017. "The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach," MPRA Paper 81638, University Library of Munich, Germany.
    13. Weijie Pang & Stephan Sturm, 2020. "XVA Valuation under Market Illiquidity," Papers 2011.03543, arXiv.org.
    14. Marta Gómez-Puig & Mary Pieterse-Bloem & Simón Sosvilla-Rivero, 2022. ""Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets"," IREA Working Papers 202217, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
    15. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
    16. Sifat, Imtiaz & Zarei, Alireza & Hosseini, Seyedmehdi & Bouri, Elie, 2022. "Interbank liquidity risk transmission to large emerging markets in crisis periods," International Review of Financial Analysis, Elsevier, vol. 82(C).
    17. Gunay, Samet, 2020. "Seeking causality between liquidity risk and credit risk: TED-OIS spreads and CDS indexes," Research in International Business and Finance, Elsevier, vol. 52(C).
    18. Louisa Chen & Liya Shen & Zhiping Zhou, 2023. "Understand funding liquidity and market liquidity in a regime‐switching model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 589-605, January.
    19. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2018. "The impact of oil-market shocks on stock returns in major oil-exporting countries," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 264-280.
    20. Gian Piero Aielli & Davide Pirino, 2023. "Funding Liquidity and Stocks’ Market Liquidity: Structural Estimation From High-Frequency Data," CEIS Research Paper 568, Tor Vergata University, CEIS, revised 28 Nov 2023.
    21. The Editors, 2018. "Reviews of Books and Teaching Materials," The American Statistician, Taylor & Francis Journals, vol. 72(2), pages 206-212, April.
    22. Socaciu, Erzsébet-Mirjám & Nagy, Bálint-Zsolt & Benedek, Botond, 2023. "No place like home: Home bias and flight-to-quality in Group of Seven countries," Economic Modelling, Elsevier, vol. 129(C).
    23. Jakub Jakl, 2019. "The SER Spread Under the ECB Quantitative Easing," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2019(2), pages 43-70.
    24. Zhang, Dayong & Lei, Lei & Ji, Qiang & Kutan, Ali M., 2019. "Economic policy uncertainty in the US and China and their impact on the global markets," Economic Modelling, Elsevier, vol. 79(C), pages 47-56.

  2. Rosenthal, Dale W.R. & Thomas, Nordia Diana Marie, 2012. "Transact taxes in a price maker/taker market," MPRA Paper 40556, University Library of Munich, Germany.

    Cited by:

    1. Marco Cipriani & Antonio Guarino & Andreas Uthemann, 2021. "Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation," Staff Reports 993, Federal Reserve Bank of New York.

  3. Rosenthal, Dale W.R., 2009. "Performance metrics for algorithmic traders," MPRA Paper 36787, University Library of Munich, Germany, revised 04 Jan 2012.

    Cited by:

    1. R. Azencott & A. Beri & Y. Gadhyan & N. Joseph & C.-A. Lehalle & M. Rowley, 2014. "Real-time market microstructure analysis: online transaction cost analysis," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1167-1185, July.

  4. Rosenthal, Dale W.R., 2009. "Market structure, counterparty risk, and systemic risk," MPRA Paper 36786, University Library of Munich, Germany, revised 19 Dec 2011.

    Cited by:

    1. Alexander von Felbert, 2015. "Network Structure and Counterparty Credit Risk," Papers 1504.06789, arXiv.org, revised Jul 2015.

  5. Rosenthal, Dale W.R., 2008. "Modeling Trade Direction," MPRA Paper 10209, University Library of Munich, Germany.

    Cited by:

    1. Perlin, Marcelo & Brooks, Chris & Dufour, Alfonso, 2014. "On the performance of the tick test," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 42-50.
    2. Allen Carrion & Madhuparna Kolay, 2020. "Trade signing in fast markets," The Financial Review, Eastern Finance Association, vol. 55(3), pages 385-404, August.
    3. Jurkatis, Simon, 2020. "Inferring trade directions in fast markets," Bank of England working papers 896, Bank of England.
    4. Jurkatis, Simon, 2022. "Inferring trade directions in fast markets," Journal of Financial Markets, Elsevier, vol. 58(C).
    5. Aktas, Osman Ulas & Kryzanowski, Lawrence, 2014. "Trade classification accuracy for the BIST," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 259-282.

Articles

  1. Boudt, Kris & Paulus, Ellen C.S. & Rosenthal, Dale W.R., 2017. "Funding liquidity, market liquidity and TED spread: A two-regime model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 143-158.
    See citations under working paper version above.
  2. Dale W. R. Rosenthal, 2012. "Modeling Trade Direction," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 390-415, 2012 04.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (2) 2008-08-31 2012-02-27
  2. NEP-BAN: Banking (1) 2013-11-22
  3. NEP-PBE: Public Economics (1) 2012-08-23

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