Liquidation discount-a novel application of ARFIMA-GARCH

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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...

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Bibliographic Details
Main Authors:	Singh, R., Gould, John, Chan, F., Yang, J.
Format:	Journal Article
Published:	Elsevier 2016
Online Access:	http://hdl.handle.net/20.500.11937/47936

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