Langedijk, Sven; Monokroussos, George; Papanagiotou, … - Volkswirtschaftliche Fakultät, … - 2015
We revisit a central task of the extant liquidity literature, which is to identify effective measures of liquidity. We … critically assess the influential practice of identifying the best liquidity measures based on monthly correlations by comparing … liquidity, as well as by examining the coherences between such measures. Furthermore, we propose MIDAS regressions as a way of …