Guo, Hui; Savickas, Robert - Federal Reserve Bank of St. Louis - 2005
include it in the forecasting equation or
not.
Figure 1 plots IV (solid line), with the shaded areas indicating business … others, it tends to rise during business recessions and
exhibits an upward trend. We report below the ordinary least …, 2005, Asset Pricing with Liquidity Risk, Journal of Financial
Economics, Forthcoming.
Amihud, Y., 2002, Illiquidity and …