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Funding liquidity, market liquidity and TED spread: A two-regime model
16 references·4 citing·42 second hop
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 2000Sample Splitting and Threshold Estimation2,901 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2002The market for borrowing stock1,161 cited
  • 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited
  • 1980Dealership market965 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 1989Trading Volume and Asset Liquidity628 cited
  • 2010Stock Market Declines and Liquidity

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626 cited

Cited by

  • 2021Immune or at-risk? Stock markets and the significance of the COVID-19 pandemic82 cited
  • 2014A Market-Based Funding Liquidity Measure45 cited
  • 2014International competition and firm performance: Evidence from Belgium26 cited
  • 2022Private Debt Fund Returns, Persistence, and Market Conditions24 cited