A new method for estimating liquidity risk : insights from a liquidity-adjusted CAPM framework
Vassilios G. Papavassiliou
| Year of publication: |
2013
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|---|---|
| Authors: | Papavassiliou, Vassilios G. |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 24.2013, p. 184-197
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| Subject: | Model-free liquidity betas | Liquidity-adjusted CAPM | High-frequency data | Realized betas | CAPM | Betafaktor | Beta risk | Theorie | Theory | Liquidität | Liquidity | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009726403