Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach-Reference-Cited by-同舟云学术

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Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach

Published:2019-08 Issue: Volume:80 Page:75-86
ISSN:0264-9993
Container-title:Economic Modelling
language:en
Short-container-title:Economic Modelling

Author:

Fall Malick,Louhichi Waël,Viviani Jean Laurent

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference26 articles.

1. Asset pricing with liquidity risk;Acharya;J. Financ. Econ.,2005

2. Asset pricing and the bid-ask spread;Amihud;J. Financ. Econ.,1986

3. A capital asset pricing model with time-varying covariances;Bollerslev;J. Polit. Econ.,1988

4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econom.,1986

5. An Introduction to State Space Time Series Analysis;Commandeur,2007

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Modeling Distress in US High Yield Mutual Funds Before and During the Covid-19 Pandemic;Folia Oeconomica Stetinensia;2022-06-01

2. Further tests of asset pricing models: Liquidity risk matters;Economic Modelling;2021-02

3. Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries;Economic Modelling;2020-12

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