Lacava, Demetrio; Ranaldo, Angelo; Santucci de … - 2022
measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized … Amihud provides a precise measurement of the inverse of integrated liquidity over fixed-length periods (e.g., a day, a week …
