How do volatility regimes affect the pricing of quality and liquidity in the stock market?

DOI10.1515/SNDE-2018-0127OpenAlexW2885874744WikidataQ126743902 ScholiaQ126743902MaRDI QIDQ2699596FDOQ2699596

Authors: Tarik Bazgour, Cedric Heuchenne, Georges Hübner, Danielle Sougné 

Publication date: 19 April 2023

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0127

zbMATH Keywords

financial crisesqualityliquidityliquidity riskvolatility regimes

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Dynamic linear models with Markov-switching
• Asset allocation under multivariate regime switching
• Liquidity Black Holes *
• Liquidity and Financial Market Runs
• Dynamic risk exposures in hedge funds

Cited In (1)

• Large stock price changes: volume or liquidity?

Uses Software

• MS_Regress

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