Details about Michael Schneider

Access statistics for papers by Michael Schneider.

Last updated 2020-01-08. Update your information in the RePEc Author Service.

Short-id: psc829

Working Papers

2019

1. OTC discount
   Discussion Papers, Deutsche Bundesbank

2018

2. Lighting up the dark: Liquidity in the German corporate bond market
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (6)

2017

3. Cross-impact and no-dynamic-arbitrage
   Papers, arXiv.org View citations (10)
   See also Journal Article Cross-impact and no-dynamic-arbitrage, Quantitative Finance, Taylor & Francis Journals (2019) View citations (14) (2019)

2016

4. How has sovereign bond market liquidity changed? An illiquidity spillover analysis
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (6)

Journal Articles

2019

1. Cross-impact and no-dynamic-arbitrage
   Quantitative Finance, 2019, 19, (1), 137-154 View citations (14)
   See also Working Paper Cross-impact and no-dynamic-arbitrage, Papers (2017) View citations (10) (2017)

2018

2. Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
   Quantitative Finance, 2018, 18, (2), 283-293 View citations (8)