Time series properties of liquidation discount

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Time series properties of liquidation discount

This paper proposes an approach for quantifying liquidity risk. Urgent liquidation of a portfolio will entail 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 the prevailing market...

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Bibliographic Details
Main Authors:	Chan, Felix, Gould, John, Singh, Ranjodh, Yang, J.
Format:	Conference Paper
Published:	Modelling and Simulation Society of Australia and New Zealand 2013
Subjects:	GARCH Liquidity risk time of day effect fractional differencing
Online Access:	http://www.mssanz.org.au/modsim2013/F3/chan2.pdf http://hdl.handle.net/20.500.11937/58313

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