Model uncertainty and liquidity

Review of Economic Dynamics

Volumn 12, Issue 4, 2009, Pages 543-566

  Routledge, Bryan R ^a   Zin, Stanley E ^b,c  

^a CARNEGIE MELLON UNIVERSITY   (United States)

^b NEW YORK UNIVERSITY   (United States)

^c NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Derivatives; Knightian uncertainty; Liquidity; Market microstructure; Value at Risk

Indexed keywords

EID: 69249240199     PISSN: 10942025     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.red.2008.10.002     Document Type: Article

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