Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Year of publication: |
2024
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Authors: | Buccheri, Giuseppe ; Grassi, Stefano ; Vocalelli, Giorgio |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 2, p. 531-574
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Subject: | illiquidity | market microstructure | score-driven models | volatility estimation | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process | Liquidität | Liquidity | Schätzung | Estimation | Schätztheorie | Estimation theory | Marktliquidität | Market liquidity |
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