Market-Wide Commonality in Liquidity on the CEE-3 Emerging Stock Markets

DOI10.1007/978-3-030-15581-0_13zbMath1426.91317OpenAlexW2944498347MaRDI QIDQ5240120

Joanna Olbryś

Publication date: 24 October 2019

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

Full work available at URL: https://doi.org/10.1007/978-3-030-15581-0_13

zbMATH Keywords

GARCHcommonality in liquidityCEE-3modified Amihud measureOLS-HAC

Mathematics Subject Classification ID

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

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