Estimating endogenous liquidity using transaction and order book information
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KeywordsEndogenous Liquidity; Volume Effect; Credit Default Swaps; Order Book;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-22 (All new papers)
- NEP-BAN-2012-12-22 (Banking)
- NEP-MST-2012-12-22 (Market Microstructure)
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