Filip Zikes

Board of Governors of the Federal Reserve System

Principal Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

8

DOWNLOADS

587

SSRN CITATIONS
Rank 28,977

SSRN RANKINGS

Top 28,977

in Total Papers Citations

10

CROSSREF CITATIONS

18

Scholarly Papers (8)

1.
Downloads 220 (155,150)
Citation 4

Identifying Contagion in a Banking Network

Bank of England Working Paper No. 642
Number of pages: 33 Posted: 24 Jan 2017
University of Oxford - Said Business School, Norges Bank Investment Management (NBIM), University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 92 (313,530)
Citation 2

Abstract:

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contagion, counterparty risk, credit default swaps, networks

Identifying Contagion in a Banking Network

FEDS Working Paper No. 2017-082
Number of pages: 37 Posted: 07 Sep 2017
University of Oxford - Said Business School, Norges Bank Investment Management (NBIM), University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 74 (358,378)

Abstract:

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Contagion, Counterparty risk, Credit default swaps, Networks

Identifying Contagion in a Banking Network

Saïd Business School WP 2016-37
Number of pages: 37 Posted: 16 Jun 2017
University of Oxford - Said Business School, Norges Bank Investment Management (NBIM), University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 54 (422,631)
Citation 3

Abstract:

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Contagion, Counterparty Risk, Credit Default Swaps, Networks

2.

Systemic Risk in Derivatives Markets: A Pilot Study Using CDS Data

Bank of England Financial Stability Paper No. 38
Number of pages: 22 Posted: 15 Jul 2016
Robleh Ali, Nicholas Vause and Filip Zikes
Bank of England, Bank of England and Board of Governors of the Federal Reserve System
Downloads 127 (248,647)
Citation 6

Abstract:

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systemic risk, derivatives, CDS data

3.

Liquidity Determinants in the UK Gilt Market

Bank of England Working Paper No. 600
Number of pages: 47 Posted: 07 May 2016
Evangelos Benos and Filip Zikes
Bank of England and Board of Governors of the Federal Reserve System
Downloads 65 (380,002)
Citation 4

Abstract:

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Gilt market, market liquidity, funding liquidity, inter-dealer trading, competition

4.

Funding Constraints and Liquidity in Two-Tiered OTC Markets

Journal of Financial Markets, Forthcoming
Number of pages: 42 Posted: 13 Dec 2017 Last Revised: 14 Dec 2017
Evangelos Benos and Filip Zikes
Bank of England and Board of Governors of the Federal Reserve System
Downloads 54 (416,022)
Citation 5

Abstract:

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gilt market, liquidity, inter-dealer trading

5.

When Do Low-Frequency Measures Really Measure Transaction Costs?

FEDS Working Paper No. 2019-051
Number of pages: 70 Posted: 17 Jul 2019
Mohammad R. Jahan-Parvar and Filip Zikes
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 38 (479,254)

Abstract:

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Liquidity Risk, Transaction Costs, Volatility

6.

Measuring Transaction Costs in the Absence of Timestamps

FEDS Working Paper No. 2017-045
Number of pages: 48 Posted: 18 Apr 2017
Filip Zikes
Board of Governors of the Federal Reserve System
Downloads 33 (502,734)

Abstract:

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Effective spread, Simulated method of moments, Time-varying estimation, Transaction costs

7.

Banks as Regulated Traders

FEDS Working Paper No. 2019-005
Number of pages: 46 Posted: 11 Feb 2019 Last Revised: 21 Feb 2019
Antonio Falato, Diana Iercosan and Filip Zikes
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 32 (507,750)
Citation 1

Abstract:

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Bank trading, Regulation, Risk exposures, Systemic risk

8.

The Evolution of Price Discovery in an Electronic Market

FEDS Working Paper No. 2020-051
Number of pages: 41 Posted: 25 Jun 2020
Alain Chaboud, Erik Hjalmarsson and Filip Zikes
Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 18 (591,521)

Abstract:

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High-frequency trading, Limit orders, Price discovery