Skip to main content
Have a personal or library account? Click to login
Spread and Liquidity Issues: A markets comparison Cover

Spread and Liquidity Issues: A markets comparison

Naše gospodarstvo/Our economy
Volume 62 (2016): Issue 1 (March 2016)
By:  and    
Open Access
|Mar 2016
References

References

  1. 1. Alexander, C. (2008).. Chichester: John Wiley & Sons Ltd.
    Search in Google Scholar
  2. 2. Attinasi, M. G., Checherita C., & Nickel C (2009).. Working paper series.
    Open DOISearch in Google Scholar
  3. 3. Bai, J., Julliard, C., & Yuan, K. (2012).. Retrieved from
    Search in Google Scholar
  4. 4. Bangia, A., Diebold, F. X., Schuermann, T., & Stroughair, J. D. (1998).Wharton Financial Institutions Center, Working Paper.
    Search in Google Scholar
  5. 5. Bangia, A., Diebold, F. X., Schuermann, T., & Stroughair, J. D. (1999). Liquidity on the outside., 68–73.
    Search in Google Scholar
  6. 6. Barrios, S., Iversen, P., Lewandowska, M., & Setzer, R. (2009).Brussels: European Communities.
    Search in Google Scholar
  7. 7. Beber, A., Brand, M., & Kavajez, K. (2006).National Centre of Competence in Research Financial Valuation and Risk management, WP No. 309.
    Open DOISearch in Google Scholar
  8. 8. Bernstein, A., Hughson, E., & Weidenmeier, M. (2011).Retrieved from
    Search in Google Scholar
  9. 9. Bollerslev, T. (2009).CREATES Research Papers.
    Search in Google Scholar
  10. 10. Bricelj, B., Strašek, S., & Jagrič, T. (2013). Vpliv likvidnostnega tveganja na izračun tvegane vrednosti.(3), 183–197.
    Search in Google Scholar
  11. 11. Brunnermeier, M., & Pedersen, L. (2009). Market liquidity and funding liquidity., 22.
    Search in Google Scholar
  12. 12. Checherita, C., Attinasi, G. M., & Nickel, C. (2010).Retrieved from VOX CEPR’s Policy Portal at
    Search in Google Scholar
  13. 13. De Grauwe, P. (2011).. CEPS working documents. Retrieved from
    Search in Google Scholar
  14. 14. De Grauwe, P., & Ji, Y. (2013). Self-fulfilling crises in the Eurozone: An empirical test., 15–36.
    Search in Google Scholar
  15. 15. ECB. (2009). What explains the search in euro area sovereign spreads during the financial crisis of 2007-09? Working paper Series No. 1131.
    Search in Google Scholar
  16. 16. Engle, R. (2001). GARCH101: The use of ARCH/GARCH models in applied econometrics.(4), 157–168.
    Search in Google Scholar
  17. 17. Ernst, C., Stange, S., & Kaserer, C. (2009).CEFS Working Paper.
    Open DOISearch in Google Scholar
  18. 18. Ernst, C., Stange, S., & Kaserer, C. (2012). Accounting for non-normality in liquidity risk.(3), 3–21.
    Open DOISearch in Google Scholar
  19. 19. Gilchrist, S., & Zakrajšek, E. (2012). Credit spreads and business cycle fluctuations..
    Open DOISearch in Google Scholar
  20. 20. Guidolin, M., & Tam M. Y. (2010).Research Division Federal Reserve Bank of St. Louis Working Paper Series.
    Open DOISearch in Google Scholar
  21. 21. Jorion, P. (2007).(3ed.). New York: McGraw-Hill Publishing Co.
    Search in Google Scholar
  22. 22. Mehrling, P (2013).Retrieved from
    Search in Google Scholar
  23. 23. Pedersen, L. H. (2009). When everyone runs for the exit..
    Open DOISearch in Google Scholar
  24. 24. Pringle, R., & Carver, N. (2009).London: Central Banking Publications.
    Search in Google Scholar
  25. 25. Stange, S., & Kaserer, C. (2009).. CEFS Working Paper.
    Open DOISearch in Google Scholar
  26. 26. Strahan, P. (2012). Liquidity risk and credit in the financial crisis..
    Search in Google Scholar
  27. 27. Viral, V., & Pedersen, L. (2004).. NBER Working Paper No. 10814.
    Search in Google Scholar
DOI: https://doi.org/10.1515/ngoe-2016-0001 | Journal eISSN: 2385-8052 | Journal ISSN: 0547-3101
Journal RSS Feed
Language: English
Page range: 3 - 11
Submitted on: Sep 1, 2015
Accepted on: Dec 1, 2015
Published on: Mar 19, 2016
Published by: University of Maribor
In partnership with: Paradigm Publishing Services
Keywords:
liquidity,
financial crisis,
GARCH VaR models
JEL:
C19,
E44,
G01
Related subjects:
Business and economics,
Political economics,
Economic policy,
Business management,
Management, organization, corporate governance,
Mathematics and statistics for economists,
Statistics

© 2016 Sebastjan Strašek, Bor Bricelj, published by University of Maribor
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Volume 62 (2016): Issue 1 (March 2016)
Next article