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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. Constraints on behavioral functions of individual economic agents and on the recursive nesting of those behavioral functions often are derived directly from economic theory....
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