LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS - Archive ouverte HAL
Journal Articles International Journal of Theoretical and Applied Finance Year : 2017

LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS

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https://hal.science/hal-01745354

Submitted on : Wednesday, March 28, 2018-10:36:04 AM

Last modification on : Friday, July 12, 2024-3:16:03 PM

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hal-01745354 , version 1 (28-03-2018)

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Lakshithe Wagalath. LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS. International Journal of Theoretical and Applied Finance, 2017, 20 (01), ⟨10.1142/S0219024917500017⟩. ⟨hal-01745354⟩

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