On the information content of implied liquidity measure : Evidence from the S&P 500 index options
Year of publication: |
2023
|
---|---|
Authors: | Yerli, Cigdem ; Eksi-Altay, Zehra ; Selcuk-Kestel, A. Sevtap |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 57.2023, p. 1-8
|
Subject: | Continuous-time Markov chain | EM algorithm | Implied liquidity | Mean-reversion | Partial information | Robust filters |
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