Bayesian econometric modelling of informed trading, bid-ask spread and volatility
Recent developments in global financial markets have increased the need for research aimed at the measurement and possible reduction of liquidity risk. In particular, market crashes have been partly blamed on the sudden withdrawal of liquidity in markets and increases in liquidity risk. To this end,...
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University of Kent
2016
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.713010 |