Market liquidity as dynamic factors

Journal of Econometrics

Volumn 163, Issue 1, 2011, Pages 42-50

  Hallin, Marc ^a,b,c,d   Mathias, Charles ^a,e   Pirotte, Hugues ^e,f   Veredas, David ^e  

^a UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^b PRINCETON UNIVERSITY   (United States)

^c Acadmie Royale de Belgique ^*  (Belgium)

^d TILBURG UNIVERSITY   (Netherlands)

^e SOLVAY BRUSSELS SCHOOL OF ECONOMICS AND MANAGEMENT   (Belgium)

^f UNIVERSITY OF LUXEMBOURG   (Luxembourg)

Author keywords

Block structure; Commonality; Equities; Factor models; Liquidity

Indexed keywords

BLOCK STRUCTURES; COMMONALITY; EQUITIES; FACTOR MODELS; LIQUIDITY;

COMMERCE;

EID: 79956370283     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.11.005     Document Type: Conference Paper

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