The asymmetry of the Amihud illiquidity measure on the European markets : the evidence from Extreme Value Theory
Barbara Będowska-Sójka, Krzysztof Echaust, Małgorzata Just
| Year of publication: |
2022
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|---|---|
| Authors: | Będowska-Sójka, Barbara ; Echaust, Krzysztof ; Just, Małgorzata |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 78.2022, p. 1-16
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| Subject: | Amihud’s measure | Asymmetry in liquidity | Clustering | Extreme Value Theory | Illiquidity Risk | Liquidität | Liquidity | Ausreißer | Outliers | Risikomaß | Risk measure | Messung | Measurement | EU-Staaten | EU countries | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2022.101563 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013357308