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Details about Michael Schneider

Homepage:https://www.bundesbank.de/en/michael-schneider
Workplace:Deutsche Bundesbank (German Federal Bank), (more information at EDIRC)

Access statistics for papers by Michael Schneider.

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

Short-id: psc829


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Working Papers

2019

  1. OTC discount
    Discussion Papers, Deutsche Bundesbank Downloads

2018

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

2017

  1. Cross-impact and no-dynamic-arbitrage
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Quantitative Finance (2019)

2016

  1. How has sovereign bond market liquidity changed? An illiquidity spillover analysis
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (2)

Journal Articles

2019

  1. Cross-impact and no-dynamic-arbitrage
    Quantitative Finance, 2019, 19, (1), 137-154 Downloads View citations (2)
    See also Working Paper (2017)

2018

  1. Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
    Quantitative Finance, 2018, 18, (2), 283-293 Downloads View citations (2)
 
Page updated 2020-09-25