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Modeling returns and unconditional variance in risk neutral world for liquid and illiquid market

Mwaniki, Ivivi Joseph - In: Journal of mathematical finance 5 (2015) 1, pp. 15-25

Persistent link: https://www.econbiz.de/10011398581

Stock returns with consumption and illiquidity risks

Márquez De la Cruz, Elena; Nieto, Belén; Rubio, Gonzalo - In: International review of economics & finance : IREF 29 (2014), pp. 57-74

Persistent link: https://www.econbiz.de/10010431504

The pricing of the illiquidity factor’s conditional risk with time-varying premium

Amihud, Yakov; Noh, Joonki - In: Journal of financial markets 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013282487

Asset Pricing Anomalies – Liquidity Risk Spreaders or Liquidity Risk Hedgers?

Virk, Nader - 2020

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …

Persistent link: https://www.econbiz.de/10012847658

Commonality in returns, order flows, and liquidity in the Greek stock market

Dunne, Peter G.; Moore, Michael J.; Papavassiliou, … - In: The European journal of finance 17 (2011) 7/8, pp. 577-587

Persistent link: https://www.econbiz.de/10009509845

Liquidity and conditional market returns : evidence from German exchange traded funds

Czauderna, Katrin; Riedel, Christoph; Wagner, Niklas F. - In: Economic modelling 51 (2015), pp. 454-459

Persistent link: https://www.econbiz.de/10011476124

Portfolio management without probabilities or statistics

Flåm, Sjur D. - In: Annals of finance 6 (2010) 3, pp. 357-368

Persistent link: https://www.econbiz.de/10003978880

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns

Li, Chen; Li, Xiaohu - In: Insurance / Mathematics & economics 86 (2019), pp. 84-91

Persistent link: https://www.econbiz.de/10012058830

Momentum crashes and variations to market liquidity

Butt, Hilal Anwar; Virk, Nader Shahzad - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 1899-1911

Persistent link: https://www.econbiz.de/10013184407

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