|
1.
|
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 |
|
|
2.
|
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 |
|
|
3.
|
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 |
|
|
4.
|
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 |
|
