Do Liquidity Proxies Based on Daily Prices and Quotes Really Measure Liquidity?

This paper examines whether liquidity proxies based on different daily prices and quotes approximate latent liquidity. We compare percent-cost daily liquidity proxies with liquidity benchmarks as well as with realized variance estimates. Both benchmarks and volatility measures are obtained from high...

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Detalles Bibliográficos
Autores principales: Będowska-Sójka, Barbara, Echaust, Krzysztof
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7517344/
https://www.ncbi.nlm.nih.gov/pubmed/33286554
http://dx.doi.org/10.3390/e22070783

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7517344/
https://www.ncbi.nlm.nih.gov/pubmed/33286554
http://dx.doi.org/10.3390/e22070783

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