Zobrazeno 1 - 10
of 63
pro vyhledávání: '"Santucci de Magistris, Paolo"'
Autor:
Carlini, Federico, Christensen, Bent Jesper, Datta Gupta, Nabanita, Santucci de Magistris, Paolo
Publikováno v:
In Energy Economics September 2023 125
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In Journal of Banking and Finance November 2019 108
Publikováno v:
In Journal of Empirical Finance September 2019 53:181-196
Publikováno v:
In Journal of Economic Dynamics and Control March 2019 100:251-269
Publikováno v:
In Journal of Banking and Finance February 2019 99:1-20
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics; Apr2024, Vol. 28 Issue 2, p435-462, 28p
Publikováno v:
In Journal of Econometrics May 2017 198(1):122-145
Publikováno v:
In Journal of Empirical Finance January 2015 30:62-78
Publikováno v:
Ranaldo, A & de Magistris, P S 2022, ' Liquidity in the global currency market ', Journal of Financial Economics, vol. 146, no. 3, pp. 859-883 . https://doi.org/10.1016/j.jfineco.2022.09.004
We study the liquidity of the global currency market by analyzing the price impact of trading volume. We analyze a decade of CLS intraday data representative of global foreign exchange (FX) trading by developing a refinement of the popular Amihud (20
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4dbee94872438e770d458931b240263c
https://pure.au.dk/portal/da/publications/liquidity-in-the-global-currency-market(d5c29c61-f6af-4339-8d0a-2827581776c4).html
https://pure.au.dk/portal/da/publications/liquidity-in-the-global-currency-market(d5c29c61-f6af-4339-8d0a-2827581776c4).html
We study the theoretical and empirical properties of a simple measure of market illiquidity, namely the realized Amihud, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact measu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_________2::1b01899162377eb8ff2ab0e40f1162e8
http://www.alexandria.unisg.ch/268042/
http://www.alexandria.unisg.ch/268042/