Liquidity Adjustment in Volatility
A new liquidity-sensitive multivariate volatility framework enhances the estimation of time-varying covariance structures, especially for cryptocurrency portfolios.
Featured in No. 94 on 23 Apr 2025 · 6 days after release
- Released
- 17 Apr 2025
- First featured
- No. 94 · 23 Apr 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 5221441
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