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Erik Vogt
Erik Vogt
Independent
Verifierad e-postadress på citadel.com - Startsida
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Market liquidity after the financial crisis
T Adrian, M Fleming, O Shachar, E Vogt
Annual Review of Financial Economics 9, 43-83, 2017
2022017
Nonlinearity and flight‐to‐safety in the risk‐return trade‐off for stocks and bonds
T Adrian, RK Crump, E Vogt
The Journal of Finance 74 (4), 1931-1973, 2019
1582019
Has US Treasury market liquidity deteriorated?
T Adrian, MJ Fleming, D Stackman, E Vogt
Liberty Street Economics, 2015
352015
An index of Treasury Market liquidity: 1991-2017
T Adrian, M Fleming, E Vogt
Staff Report, 2017
292017
Intraday market making with overnight inventory costs
T Adrian, A Capponi, M Fleming, E Vogt, H Zhang
Journal of Financial Markets 50, 100564, 2020
222020
Global price of risk and stabilization policies
T Adrian, D Stackman, E Vogt
IMF Economic Review 67, 215-260, 2019
222019
Has liquidity risk in the corporate bond market increased?
T Adrian, MJ Fleming, O Shachar, D Stackman, E Vogt
Liberty Street Economics, 2015
102015
The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data
T Adrian, MJ Fleming, E Vogt
FRB of NY Staff Report, 2017
92017
Has liquidity risk in the Treasury and equity markets increased?
T Adrian, MJ Fleming, D Stackman, E Vogt
Liberty Street Economics, 2015
82015
What's Driving Dealer Balance Sheet Stagnation?
T Adrian, MJ Fleming, D Stackman, E Vogt
Liberty Street Economics, 2015
82015
Market Liquidity after the Financial Crisis, Federal Reserve Bank of New York Staff Report No. 796
T Adrian, M Fleming, O Shachar, E Vogt
62017
Global variance term premia and intermediary risk appetite
P Van Tassel, E Vogt
FRB of NY Staff Report, 2016
62016
Redemption risk of bond mutual funds and dealer positioning
T Adrian, MJ Fleming, O Shachar, E Vogt
Liberty Street Economics, 2015
62015
An Index of Treasury Market Liquidity: 1997-2017
T Adrian, M Fleming, E Vogt
Federal Reserve Bank of New York, 2017
52017
Option-implied term structures
E Vogt
Available at SSRN 2541954, 2014
52014
Corporate bond market liquidity redux: more price-based evidence
T Adrian, MJ Fleming, E Vogt, Z Wojtowicz
Liberty Street Economics, 2016
42016
A note on measuring illiquidity jumps
T Adrian, M Fleming, E Vogt
Technical note, Federal Reserve Bank of New York, 2015
42015
Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity?
T Adrian, MJ Fleming, E Vogt, Z Wojtowicz
Liberty Street Economics, 2016
22016
Changes in the returns to market making
T Adrian, MJ Fleming, O Shachar, D Stackman, E Vogt
Liberty Street Economics, 2015
22015
Global pricing of risk and stabilization policies
T Adrian, D Stackman, E Vogt
Federal Reserve Bank of New York Staff Report, 2017
12017
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