Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows

Serge Darolles, Gaelle Le Fol and Gulten Mero
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Serge Darolles: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Gulten Mero: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique, CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, THEMA - Théorie économique, modélisation et applications - CNRS - Centre National de la Recherche Scientifique - CY - CY Cergy Paris Université

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Date: 2016-06
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Published in 9th Annual SoFiE Conference (Society for Financial Econometrics) 2016, Jun 2016, Hong Kong, Hong Kong SAR China

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Related works:
Journal Article: Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows (2017)
Working Paper: Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows (2017)
Working Paper: Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows (2014)
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