On the computation of LOT liquidity measure

Wandi Zhao and Mingjin Wang

Economics Letters, 2015, vol. 136, issue C, 76-80

Abstract: Based on an extensive simulation study and a real data analysis, we show that the widely used estimation method of LOT liquidity model, i.e. the Mixed MLE method, is not consistent and the Y-split method should be used instead.

Keywords: Liquidity; LOT model; Estimation; Simulation (search for similar items in EconPapers)
JEL-codes: C15 C24 G12 G14 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:136:y:2015:i:c:p:76-80

DOI: 10.1016/j.econlet.2015.08.030

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