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Michael Schneider
Michael Schneider
Verified email at bundesbank.de - Homepage
Title
Cited by
Cited by
Year
Cross-impact and no-dynamic-arbitrage
M Schneider, F Lillo
Quantitative Finance 19 (1), 137-154, 2019
502019
Non-Standard Errors
A Dreber, AJ Menkveld, F Holzmeister, M Johannesson, J Huber, ...
42*2021
Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
M Schneider, F Lillo, L Pelizzon
Quantitative Finance 18 (2), 283-293, 2018
262018
Safe asset shortage and collateral reuse
S Jank, E Moench, M Schneider
SAFE Working Paper, 2022
202022
OTC Discount
C de Roure, E Moench, L Pelizzon, M Schneider
Deutsche Bundesbank Discussion Paper Series No 42/2019, 2019
172019
Lighting up the dark: liquidity in the German corporate bond market
Y Gündüz, L Pelizzon, M Schneider, MG Subrahmanyam
The Journal of Fixed Income, 2023
15*2023
How Has Sovereign Bond Market Liquidity Changed?-An Illiquidity Spillover Analysis
M Schneider, F Lillo, L Pelizzon
SAFE Working Paper, 2016
10*2016
Dash for cash’versus ‘dash for collateral’: Market liquidity of European sovereign bonds during the Covid-19 crisis
E Moench, L Pelizzon, M Schneider
VoxEU/CEPR, 2021
72021
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