Pricing of time-varying illiquidity within the Eurozone : evidence using a Markov switching liquidity-adjusted capital asset pricing model
Stefano Grillini, Aydin Ozkan, Abhijit Sharma, Mazin A. M. Al Janabi
| Year of publication: |
2019
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|---|---|
| Authors: | Grillini, Stefano ; Ozkan, Aydin ; Sharma, Abhijit ; Al Janabi, Mazin A. M. |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 64.2019, p. 145-158
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| Subject: | CAPM | Eurozone | Euro area | Markov-Kette | Markov chain | Schätzung | Estimation | Liquidität | Liquidity | EU-Staaten | EU countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2019.05.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012208374