Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity
A study using crypto assets indicates that jumps in asset prices are signs of extreme liquidity and can be effectively modeled using autoregressive models adjusted with liquidity.
Featured in No. 33 on 17 Jan 2024 · 4 days after release · 2 citations today
- Released
- 13 Jan 2024
- First featured
- No. 33 · 17 Jan 2024
- Citations (Semantic Scholar)
- 2
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4694674
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).