Zobrazeno 1 - 10
of 106
pro vyhledávání: '"Louisa Chen"'
Publikováno v:
Annals of Surgery. 277:e657-e663
Publikováno v:
International Journal of Finance & Economics. 28:589-605
We investigate the time‐varying relationship of funding liquidity (FL) and market liquidity (ML) in a Markov regime‐switching model. By using a comprehensive U.S. TRACE dataset, we provide strong evidence that FL and corporate bond ML are interli
Publikováno v:
Journal of International Economics. 140:103713
Publikováno v:
Journal of Economic Dynamics and Control. 82:312-330
We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP) for option returns. In the model, a representative agent follows a rational Bayesian learning process in an economy under incomplete
Publikováno v:
Journal of Financial Markets. 48:100510
Staff Working Paper No. 690 Market participants have argued that a significant unintended consequence of post-crisis regulatory leverage ratio requirements has been a reduction in the liquidity of fixed income markets. We assess this claim in the con
Publikováno v:
SSRN Electronic Journal.
A key issue raised by the rapid growth of computerised algorithmic trading is how it responds in extreme situations. Using data on foreign exchange orders and transactions that includes identification of algorithmic trading, we find that this type of
Publikováno v:
SSRN Electronic Journal.
We use a 3-factor Regime Switching Threshold model to study common factors in the excess returns of 18 European corporate bond indices during 2000-2014. Our results document significant time variation of the common factors across bond indices for dif
To date, existing studies that use multilayer networks, in their multiplex form, to analyse the structure of financial systems, have (i) considered the structure as a non-interconnected multiplex network, (ii) no mechanism of multichannel contagion h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6c0d6bbe527afe8d0ba58b023efcbe38
Publikováno v:
SSRN Electronic Journal.
Market participants have argued that a significant unintended consequence of post-crisis regulatory leverage ratio requirements has been a reduction in the liquidity of fixed income markets. We assess this claim in the context of the gilt (UK governm
Autor:
Louisa Chen Chen, Thanos Verousis
Publikováno v:
International Journal of Banking, Accounting and Finance. 9:1
This paper decomposes the two effects on a firm's stock and bond returns - the effect of firm's future cash flow and the effect of business risk to study the relationship between the returns of stocks and bonds issued by the same firm. Based on the c