Measuring the Liquidity Part of Volume
Date
2015Dewey
Economie financièreSujet
Volatility-volume relationship; Mixture of distribution hypothesis; Information-based trading; Liquidity shocks; GMM tests; Liquidity arbitrageJEL code
C.C5.C51; C.C5.C52; G.G1.G12Journal issue
Journal of Banking and FinanceVolume
50Publication date
2015Article pages
92–105Publisher
ElsevierCollections
Metadata
Show full item recordAuthor
Darolles, Serge
1032 Dauphine Recherches en Management [DRM]
Le Fol, Gaëlle
1032 Dauphine Recherches en Management [DRM]
Mero, Gulten