Illiquidity shocks and the comovement between stocks : new evidence using smooth transition
Year of publication: |
2013
|
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Authors: | Chelley-Steeley, Patricia L. ; Lambertides, Neophytos ; Savva, Christos S. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 23.2013, p. 1-15
|
Subject: | Stock liquidity | Comovements | Smooth transition model | Schock | Shock | Schätzung | Estimation | VAR-Modell | VAR model | Börsenkurs | Share price | Korrelation | Correlation | Großbritannien | United Kingdom | Aktienmarkt | Stock market | Liquidität | Liquidity |
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