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02/21/2022
On the dependence structure of the trade/no trade sequence of illiquid assets
In this paper, we propose to consider the dependence structure of the tr...
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04/09/2021
Powers correlation analysis of non-stationary illiquid assets
In this paper, the higher order dynamics of individual illiquid stocks a...
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08/14/2020
On the correlation analysis of illiquid stocks
The serial correlations of illiquid stock's price movements are studied,...
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03/28/2020
Investigating linear relationships between non constant variances of economic variables
In this paper we aim to assess linear relationships between the non cons...
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03/25/2020