10 Measuring term structure dynamics
10.1 Introduction
Financial turbulence is a phenomenon occurring in antipersistent financial markets. In contrast, financial catastrophes occur in persistent financial markets. A relationship can be established between these two extreme phenomena of long-term market dependence and the older financial concept of illiquidity. The measurement of the degree of financial market persistence and the measurement of the degree of financial market illiquidity are related.
It has been suggested by Peters (1989, 1994) of PanAgora Management, that to understand financial turbulence, the dynamics of cash flows between the various market participants, within and between different asset markets, should be measured, ...
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