Optimal portfolio liquidation with cross-price impacts on trading
Consider the portfolio liquidation problem in which a risk-neutral investor unwinds a large
portfolio because of urgent liquidity issues. To measure market liquidity, both permanent and …
portfolio because of urgent liquidity issues. To measure market liquidity, both permanent and …
[PDF][PDF] Detecting ARCH Effects: Power versus Frequency of Observation. Some Monte Carlo results
D Tserkezos - Asian Journal of Economics and Finance, 2019 - arfjournals.com
This short paper using simulation techniques studies the effects of increasing the frequency
of observation and the data span on the testing the ARCH effects on a time series. According …
of observation and the data span on the testing the ARCH effects on a time series. According …