Testing Stability of Correlations Between Liquidity Proxies Derived from Intraday Data on the Warsaw Stock Exchange

DOI10.1007/978-3-319-76228-9_7zbMath1425.91448OpenAlexW2800152063MaRDI QIDQ5198079

Joanna Olbryś

Publication date: 2 October 2019

Published in: Contemporary Trends and Challenges in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-76228-9_7

zbMATH Keywords

intraday datastock exchangeliquidity proxies

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items

Information content of liquidity and volatility measures

Cites Work

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• Continuous Auctions and Insider Trading
• What Are the Best Liquidity Proxies for Global Research?*
• Common risk factors in the returns on stocks and bonds
• An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices