The asymmetry of the Amihud illiquidity measure on the European markets: The evidence from Extreme Value Theory
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DOI: 10.1016/j.intfin.2022.101563
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Cited by:
- Ya-Wen Lai, 2023. "Impact of futures’ trader types on stock market quality: evidence from Taiwan," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 417-436, June.
- Zhong, Meirui & Zhang, Rui & Ren, Xiaohang, 2023. "The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach," Energy Economics, Elsevier, vol. 123(C).
- Carlin C. F. Chu & Simon S. W. Li, 2024. "A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series," Computational Management Science, Springer, vol. 21(1), pages 1-14, June.
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Keywords
Amihud’s measure; Asymmetry in liquidity; Extreme Value Theory; Clustering; Illiquidity Risk;All these keywords.
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