Pascual, Roberto; Escribano, Alvaro; Tapia, Mikel - In: The European Journal of Finance 10 (2004) 6, pp. 542-566
Variations in overall liquidity can be measured by simultaneous changes in both immediacy costs and depth. Liquidity … changes, however, are ambiguous whenever both liquidity dimensions do not reinforce each other. In this paper, ambiguity is … characterized using an instantaneous time-varying elasticity concept. Several bi-dimensional liquidity measures that cope with the …