Modeling illiquidity dynamics and risk premia
Di Virgilio, Gian Marco (A.A. 2024/2025) Modeling illiquidity dynamics and risk premia. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 60. [Master's Degree Thesis]
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Abstract/Index
Literature review. From market microstructure to low-frequency illiquidity proxies. Realized and range-based illiquidity measures. Realized-variation illiquidity and scalable daily alternatives. Illiquidity in asset pricing. Data and methodology. Data collection. Data quality control. Illiquidity measures. Illiquidity dynamics and mem. Testing for an illiquidity premium. Empirical results. Dynamic properties of illiquidity. Cross-sectional evidence on illiquidity dynamics. Illiquidity premium. Interpretation of the pricing evidence.
References
Bibliografia: pp. 54-56.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Empirical finance |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Barone, Emilio |
| Academic Year: | 2024/2025 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 14 Jul 2026 12:24 |
| Last Modified: | 14 Jul 2026 12:24 |
| URI: | https://tesi.luiss.it/id/eprint/46385 |
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