Pascual, Roberto; Escribano, Alvaro; Tapia, Mikel - In: The European Journal of Finance 10 (2004) 6, pp. 542-566
Variations in overall liquidity can be measured by simultaneous changes in both immediacy costs and depth. Liquidity changes, however, are ambiguous whenever both liquidity dimensions do not reinforce each other. In this paper, ambiguity is characterized using an instantaneous time-varying...