P.O. Box 7082
S-220 07 Lund
Lund University - Department of Economics
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intertemporal hedging, dynamic portfolio selection, regime switching
Portfolio choice, Utility maximization, Full-Scale Optimization, S-shaped utility, bilinear utility
illiquidity level premium, illiquidity risk premium, conditional LCAPM, effective tick
systematic liquidity, market liquidity, commonality, dynamic principal component analysis, robust PCA
commonality, commonality risk premium, asset illiquidity, systematic illiquidity, liquidity, effective tick
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: j-9957.
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File name: manc.
File name: FIRE.
liquidity, foreign institutional investor, QFII, real friction, informational friction
Energy Forward Markets, Time-Varying Volatility Spillovers, Volatility Impulse Response Function, Skew-Student Asymmetric BEKK
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