Market liquidity as dynamic factors

DOI10.1016/j.jeconom.2010.11.005zbMath1441.62717OpenAlexW2116664232MaRDI QIDQ737943

Marc Hallin, Charles Mathias, Hugues Pirotte, David Veredas

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.11.005

zbMATH Keywords

factor modelscommonalityliquidityblock structureequities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25)

Related Items (4)

Parametric estimation of long memory in factor models ⋮ Inferential theory for generalized dynamic factor models ⋮ Dynamic factors in the presence of blocks ⋮ Dynamic factor models with infinite-dimensional factor spaces: one-sided representations

Cites Work

• Unnamed Item
• Dynamic factors in the presence of blocks
• Fitting dynamic factor models to non-stationary time series
• The generalized dynamic factor model consistency and rates
• Continuous Auctions and Insider Trading
• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model

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