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LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS

Lakshithe Wagalath 1, 2 
1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 LEM - Lille économie management - UMR 9221
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https://hal.archives-ouvertes.fr/hal-01745354
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Submitted on : Wednesday, March 28, 2018 - 10:36:04 AM
Last modification on : Tuesday, April 12, 2022 - 4:12:03 PM

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UNIV-PARIS7 | UNIV-ARTOIS | UPMC | PMA | CNRS | USPC | LEM_LILLE | LPSM | UNIV-LILLE | SORBONNE-UNIVERSITE | SU-SCIENCES | UNIV-PARIS

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Lakshithe Wagalath. LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS. International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2017, 20 (01), ⟨10.1142/S0219024917500017⟩. ⟨hal-01745354⟩

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