Purpose This study aims to examine the theoretical foundations for multivariate portfolio
optimization algorithms under illiquid market conditions. In this study, special emphasis is …

This paper investigates static and dynamic liquidity spillovers for a pool of ten Eurozone
countries for the period 2000–2021. We estimate a generalised vector autoregressive (VAR) …

Purpose This paper aims to examine from commodity portfolio managers' perspective the
performance of liquidity adjusted risk modeling in assessing the market risk parameters of a …

Liquidity is easily perceived but not easily measured in financial markets. Researchers and
practitioners develop and test new measures of liquidity which may be good candidates for …

The exploitation of deep mineral resources is an inevitable choice under economic
development and resource shortage. Assessing the economic feasibility of deep mineral …

Based on the theoretical framework of expected utility with uncertain probabilities, this paper
uses actual prices of CSI300 and Hang Seng index to empirically measure ambiguity …

It is important to predict evolution processes of water quality in order to effectively protect the
aquatic eco-system. We proposed an integrated autoregressive (AR) prediction model …

Purpose This paper aims to empirically indicate the factors influencing stock liquidity
premium (ie the relationship between liquidity and stock returns) in one of the leading …

This paper investigates the liquidity spillovers between 56 stock markets for the period from
January 2, 2007 to August 12, 2022. Using high-dimensional data, we estimated a LASSO …

The effect of stock liquidity on stock returns is well documented in the developed capital
markets, while similar studies on emerging markets are still scarce and their results …