Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove, 2016. "Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 819-851, December.
- Sylvia Gottschalk, 2016. "Entropy and credit risk in highly correlated markets," Papers 1604.07042, arXiv.org.
More about this item
KeywordsFinancial crisis; high frequency data; kernel based estimation;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G01 - Financial Economics - - General - - - Financial Crises
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ACC-2009-12-11 (Accounting & Auditing)
- NEP-ALL-2009-12-11 (All new papers)
- NEP-MST-2009-12-11 (Market Microstructure)
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