Liquidation discount-a novel application of ARFIMA-GARCH
Urgent liquidation of a large stock portfolio entails a liquidity cost-i.e., a "liquidation discount". This is the market impact discount in value yielded by the immediate sale of the portfolio relative to its in-hand market value calculated from prevailing market prices. For any portfolio...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Elsevier
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/47936 |