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Michalis Vasios
Michalis Vasios
European Securities and Markets Authority
Zweryfikowany adres z esma.europa.eu - Strona główna
Tytuł
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An investigation into the procyclicality of risk-based initial margin models
D Murphy, M Vasios, N Vause
Bank of England Financial Stability Paper, 2014
1052014
Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act
E Benos, R Payne, M Vasios
Journal of Financial and Quantitative Analysis 55 (1), 159-192, 2020
782020
A comparative analysis of tools to limit the procyclicality of initial margin requirements
D Murphy, M Vasios, N Vause
Bank of England Working Paper, 2016
622016
Regulatory effects on short-term interest rates
A Ranaldo, P Schaffner, M Vasios
Journal of Financial Economics 141 (2), 750-770, 2021
552021
OTC premia
G Cenedese, A Ranaldo, M Vasios
Journal of Financial Economics 136 (1), 86-105, 2020
502020
Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging
O Cielinska, A Joseph, U Shreyas, J Tanner, M Vasios
Bank of England Financial Stability Paper, 2017
362017
The cost of clearing fragmentation
E Benos, W Huang, AJ Menkveld, M Vasios
Bank of England Working Paper, 2019
29*2019
Identifying contagion in a banking network
AD Morrison, M Vasios, MI Wilson, F Zikes
Saïd Business School WP 37, 2016
202016
Sell-side analysts’ career concerns during banking stresses
I Nolte, S Nolte, M Vasios
Journal of Banking & Finance 49, 424-441, 2014
182014
Weighted Least Squares Realized Covariation Estimation
Y Li, I Nolte, M Vasios, V Voev, Q Xu
Journal of Banking & Finance 137, 106420, 2022
4*2022
Profiting from Mimicking Strategies in Non-Anonymous Markets
I Nolte, R Payne, M Vasios
Available at SSRN 1820324, 2013
3*2013
OTC Microstructure in a Period of Stress: A Multi-layered Network Approach
A Joseph, M Vasios
Journal of Banking & Finance, 106400, 2022
12022
Text mining ESG disclosures in rating agency press releases
A Amzallag, M Levi, M Vasios
European Securities and Markets Authority TRV Risk Analysis, 2022
2022
JFQA 2020 Symposium on the Microstructure of Fixed Income Markets A Survey of the Microstructure of Fixed-Income Markets Hendrik Bessembinder, Chester Spatt, and Kumar …
K Back, R Liu, A Teguia, T Hendershott, R Kozhan, V Raman, UST Market, ...
2020
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