Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2023
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| Acceso en línea: | |
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| _version_ | 1866911778604056576 |
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| author | Deng, Qi Zhou, Zhong-guo |
| author_facet | Deng, Qi Zhou, Zhong-guo |
| contents | We establish innovative liquidity premium measures, and construct liquidity-adjusted return and volatility to model assets with extreme liquidity, represented by a portfolio of selected crypto assets, and upon which we develop a set of liquidity-adjusted ARMA-GARCH/EGARCH models. We demonstrate that these models produce superior predictability at extreme liquidity to their traditional counterparts. We provide empirical support by comparing the performances of a series of Mean Variance portfolios. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2306_15807 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity Deng, Qi Zhou, Zhong-guo Portfolio Management Computational Finance General Finance Risk Management Statistical Finance We establish innovative liquidity premium measures, and construct liquidity-adjusted return and volatility to model assets with extreme liquidity, represented by a portfolio of selected crypto assets, and upon which we develop a set of liquidity-adjusted ARMA-GARCH/EGARCH models. We demonstrate that these models produce superior predictability at extreme liquidity to their traditional counterparts. We provide empirical support by comparing the performances of a series of Mean Variance portfolios. |
| title | Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity |
| topic | Portfolio Management Computational Finance General Finance Risk Management Statistical Finance |
| url | https://arxiv.org/abs/2306.15807 |