Dziwok, Ewa; Kara's, Marta A. - In: Risks : open access journal 9 (2021) 7, pp. 1-29
The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the Nelson- Siegel-Svensson...