Measuring, forecasting, and explaining time varying liquidity in the stock market
By: Robert F. Engle, Joe Lange.
Contributors: Lange, Joseph K.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 6129; Working paper series (National Bureau of Economic Research) -- no. 6129.
Publisher: National Bureau of Economic Research
Published: 1997
Place of publication: Cambridge, MA
Language: eng
Number of pages: 22
Subjects: Liquidity (Economics); Stocks -- Prices -- Econometric models.
Notes: "August 1997."

Includes bibliographical references (p. 21-22).

Electronic access limited to Binghamton University faculty, staff and students for instructional and research purposes only.

Electronic version available via the Internet at the NBER World Wide Web site.

Support from NSF grant SBR-9422575