Pricing of time-varying illiquidity within the Eurozone : evidence using a Markov switching liquidity-adjusted capital asset pricing model
Year of publication: |
2019
|
---|---|
Authors: | Grillini, Stefano ; Ozkan, Aydin ; Sharma, Abhijit ; Janabi, Mazin A. M. al |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 64.2019, p. 145-158
|
Subject: | CAPM | Eurozone | Euro area | Markov-Kette | Markov chain | Schätzung | Estimation | EU-Staaten | EU countries |
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