Measuring the liquidity part of volume
Year of publication: |
2015
|
---|---|
Authors: | Darolles, Serge ; Fol, Gaëlle Le ; Mero, Gulten |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 50.2015, C, p. 92-105
|
Publisher: |
Elsevier |
Subject: | Volatility–volume relationship | Mixture of distribution hypothesis | Liquidity shocks | Information-based trading | Liquidity arbitrage | GMM tests |
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