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Showing 1 to 1 of 1 for “"FX Illiquidity measurements"”.
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The foreign exchange market: a three essay analysis
Illiquidity in financial markets is an issue of importance given that its impact can be rapid, that it can result in the emergence of a financial crisis, and that ultimately, it can threaten financial system stability. I construct five measures of FX illiquidity using high frequency transactable FX …