On the information content of implied liquidity measure : Evidence from the S&P 500 index options
Cigdem Yerli, Zehra Eksi-Altay, A. Sevtap Selcuk-Kestel
| Year of publication: |
2023
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|---|---|
| Authors: | Yerli, Cigdem ; Eksi-Altay, Zehra ; Selcuk-Kestel, A. Sevtap |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 57.2023, p. 1-8
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| Subject: | Continuous-time Markov chain | EM algorithm | Implied liquidity | Mean-reversion | Partial information | Robust filters | Informationswert | Information value | Markov-Kette | Markov chain | Optionsgeschäft | Option trading | Index-Futures | Index futures | Zeitreihenanalyse | Time series analysis | Liquidität | Liquidity | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.104164 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014507814