Instantaneous liquidity rate, its econometric measurement by volatility feedback

DOI10.1016/S1631-073X(02)02297-5zbMath1050.91048MaRDI QIDQ1600149

Maria Elvira Mancino, Paul Malliavin

Publication date: 2002

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

zbMATH Keywords

market stabilityliquidity rate

Mathematics Subject Classification ID

Related Items (2)

A Fourier transform method for nonparametric estimation of multivariate volatility ⋮ High-frequency volatility of volatility estimation free from spot volatility estimates

Cites Work

• Non perturbative construction of invariant measure through confinement by curvature
• Fourier series method for measurement of multivariate volatilities
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