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We develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluate these methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1)...
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Economic theory defines and constrains admissible functional form and functional structure throughout the economy … are derived directly from economic theory. Theoretically implied constraints on the properties of equilibrium stochastic …, as well as to aggregation over economic agents and goods in economic theory. In addition, his work in those areas has …
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