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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 - LEM - UMR 9221
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https://hal.archives-ouvertes.fr/hal-01745354
Contributor : Marion Romo <>
Submitted on : Wednesday, March 28, 2018 - 10:36:04 AM
Last modification on : Friday, March 27, 2020 - 4:03:47 AM

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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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