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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2020
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| 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 |