A practical approach to constructing price-based funding liquidity factors

Bouwman, Kees E.; Buis, Boyd; Pieterse-Bloem, Mary; Tham, Wing Wah

doi:10.1016/j.iref.2015.02.007

Cited by 4 publications

(1 citation statement)

References 42 publications

(46 reference statements)

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“…We measure funding liquidity as the 3-month EURIBOR -EONIA spread. This variable captures funding uncertainty, similar to the TED and CP spreads that are used in liquidity studies of the U.S. markets (Hameed et al, 2010;Fontaine and Garcia, 2012;Bouwman et al, 2015). Table 3 presents the descriptive statistics of our control variables.…”

Section: Empirical Modelmentioning

confidence: 99%

Expected issuance fees and market liquidity

Buis

Pieterse-Bloem

Verschoor

et al. 2020

Journal of Financial Markets

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Section: Empirical Modelmentioning

confidence: 99%

Expected issuance fees and market liquidity

Buis

Pieterse-Bloem

Verschoor

et al. 2020

Journal of Financial Markets

Self Cite

View full text Add to dashboard Cite

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Advances in financial risk management and economic policy uncertainty: An overview

Hammoudeh

McAleer

2015

International Review of Economics & Finance

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Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy Uncertainty" is to highlight some areas of research in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty, especiallythe power of print: uncertainty shocks, markets, and the economy, determinants of the banking spread in the Brazilian economy: the role of micro and macroeconomic factors, forecasting value-at-risk using block structure multivariate stochastic volatility models, the time-varying causality between spot and futures crude oil prices: a regime switching approach, a regimedependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates, a practical approach to constructing price-based funding liquidity factors, realized range volatility forecasting: dynamic features and predictive variables, modelling a latent daily tourism financial conditions index, bank ownership, financial segments and the measurement of systemic risk: an application of CoVaR, model-free volatility indexes in the financial literature: a review, robust hedging performance and volatility risk in option markets: application to Standard and Poor's 500 and Taiwan index options, price cointegration between sovereign CDS and currency option markets in the global financial crisis, whether zombie lending should always be prevented, preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the global financial crisis, managing financial risk in Chinese stock markets: option pricing and modeling under a multivariate threshold autoregression, managing systemic risk in The Netherlands, mean-variance portfolio methods for energy policy risk management, on robust properties of the SIML estimation of volatility under micro-market noise and random sampling, asymmetric large-scale (I)GARCH with hetero-tails, the economic fundamentals and economic policy uncertainty of Mainland China and their impacts on Taiwan and Hong Kong, prediction and simulation using simple models characterized by nonstationarity and seasonality, and volatility forecast of stock indexes by model averaging using high frequency data. JEL Classification AbstractFinancial risk management is difficult at the best of times, but especially so in the presence of

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