Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. - Norges Bank - 2008
Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common … liquidity variation, we focus on identifying different components of liquidity, statistically and economically, using more than … a decade of US transaction data. We identify three main statistical liquidity factors which are utilized in a linear …