LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS

Lakshithe Wagalath ()
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Lakshithe Wagalath: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique, LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique

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Date: 2017-02
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Published in International Journal of Theoretical and Applied Finance, 2017, 20 (01), ⟨10.1142/S0219024917500017⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01745354

DOI: 10.1142/S0219024917500017

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