Volatility regimes and liquidity co-movements in cap-based portfolios

Renoud Beaupain, Pierre Giot and Mikael Petitjean

No 2328, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2010-01-01
Note: In : Finance, 31(1), 55-79, 2010
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Journal Article: Volatility regimes and liquidity co-movements in cap-based portfolios (2010)
Working Paper: Volatility regimes and liquidity co-movements in cap-based portfolios (2010)
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