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An Extensible Model for Historical Financial Data with an Application to German Company and Stock Market Data
(2021-01-22)
Broad, long-term financial and economic datasets are a scarce resource, in particular in the European context. In this paper, we present an approach for an extensible, i.e. adaptable to future changes in technologies and ...
OTC Discount
(2021-10-08)
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This ...