Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Giuseppe Buccheri, Stefano Grassi, and Giorgio Vocalelli
| 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 | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Marktliquidität | Market liquidity | CAPM | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014526336