Ranaldo, Angelo; Mancini, Loriano; Wrampelmeyer, Jan - Schweizerische Nationalbank (SNB) - 2010
This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quantifies the amount of commonality in liquidity across exchange rates, and determines the extent of liquidity risk premiums embedded in FX returns. The new liquidity measure utilizes ultra high frequency data...
