We revisit a central task of the extant liquidity literature, which is to identify effective measures of liquidity. We critically assess the influential practice of identifying the best liquidity measures based on monthly correlations by comparing and contrasting correlations between monthly and...

This paper proposes a Bayesian nowcasting approach that utilizes information coming both from large real-time data sets and from priors constructed using internet search popularity measures. Exploiting rich information sets has been shown to deliver significant gains in nowcasting contexts,...