A security's liquidity properties have been studied in terms of mean and variance: liquidity level and liquidity risk, respectively. This paper explores tail events, liquidity disaster risk. Liquidity might not be a worry to investors in normal market conditions, but it does become a first-order...

In this paper, we consider a family of recently-proposed measurement invariance tests that are based on the scores of a fitted model. This family can be used to test for measurement invariance w.r.t. a continuous auxiliary variable, without pre-specification of subgroups. Moreover, the family...