Demertzidis, Anastasios; Jeleskovic, Vahidin - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-23
-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis …, we split the data into four periods, which include events before, during, and after the recent financial crisis starting … financial crisis. Therefore, the systematic impact on the e-MID appears to be stronger and econometric modeling of the intraday …