Financial Market Liquidity and the Financial Crisis: An Assessment Using UK Data
β Scribed by Christopher Martin; Costas Milas
- Book ID
- 111081201
- Publisher
- John Wiley and Sons
- Year
- 2010
- Tongue
- English
- Weight
- 230 KB
- Volume
- 13
- Category
- Article
- ISSN
- 1367-0271
No coin nor oath required. For personal study only.
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This paper develops a method to estimate the equity risk premium. The method exploits the Earn Back Period (EBP) formula presented by Luoma and Ruuhela (2001), which is a generalization of the P/E ratio. The EBP has a clear theoretical interpretation and can be used to compare stocks with different
## Abstract Recent research investigating the properties of highβfrequency financial data has suggested that the stochastic nonlinearity widely present in such data may be characterized by heterogeneous components in conditional volatility, and nonlinear dependence of threshold autoregressive form