Darolles, Serge; Fol, Gaëlle Le; Mero, Gulten - In: Journal of Banking & Finance 50 (2015) C, pp. 92-105
Based on the concept that the presence of liquidity frictions can increase the daily traded volume, we develop an extended version of the mixture of distribution hypothesis model (MDH) along the lines of Tauchen and Pitts (1983) to measure the liquidity portion of volume. Our approach relies on...