Working Papers

The IGF associates have posted the following working papers on SSRN.

Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models (2012)
Engle, R. (NYU), Fleming, M. (Federal Reserve Bank of New York), Ghysels, E. (University of North Carolina) and G. Nguyen (University of North Carolina
Dynamic conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns (2014)
Bali, T. (Georgetown University), Engle, R. (NYU) and Y. Tan (Fordham University)