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

R. Beaupain, Pierre Giot and Mikael Petitjean
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R. Beaupain: LEM - Lille - Economie et Management - Université de Lille, Sciences et Technologies - CNRS - Centre National de la Recherche Scientifique

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Date: 2010
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Published in Finance, 2010, 31 (1), pp.55-79

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Related works:
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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