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1.	PDF wp2011-19 Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach Gravelle, Toni ; Li, Fuchun In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the fina[...] 2011 \| Text \| Staff Working Paper - Document de travail du personnel \| Detailed record - Similar records
2.	PDF wp2013-49 A Distributional Approach to Realized Volatility Chaker, Selma ; Meddahi, Nour This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that th[...] 2013 \| Text \| Staff Working Paper - Document de travail du personnel \| Detailed record - Similar records
3.	PDF wp2013-48 Volatility Forecasting when the Noise Variance Is Time-Varying Chaker, Selma ; Meddahi, Nour This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The co[...] 2013 \| Text \| Staff Working Paper - Document de travail du personnel \| Detailed record - Similar records
4.	PDF wp2013-29 Volatility and Liquidity Costs Chaker, Selma Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator insp[...] 2013 \| Text \| Staff Working Paper - Document de travail du personnel \| Detailed record - Similar records

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