Alessio Caldarera

PIMCO Europe Ltd.

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Nations House

103 Wigmore Street

London W1U 1QS

United Kingdom

  • PIMCO Europe Ltd.

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Asset Prices and Asset Correlations in Illiquid Markets

Number of pages: 24 Posted: 01 Dec 2004
Celso Brunetti and Alessio Caldarera
Board of Governors of the Federal Reserve System and PIMCO Europe Ltd.
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Abstract:

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Market Liquidity, Volatilities, Correlations, Asset Pricing, GMM