“...Until recently the liquidity of financial assets has typically been viewed as a second-order consideration. Liquidity was frequently associated with simple...”

“...-...”

“...Novel model specifications that include a time-varying long-run component in the dynamics of realized covariance matrices are proposed. The modelling framework...”

“...Gouriéroux, C., and J.-M. Zakoían [2013] propose to use noncausal models to parsimoniously capture nonlinear features often observed in financial time series...”

“...ETFs and index funds have grown at very rapid rates in recent years. Originally launched to track some large liquid indices in developed markets, they now also...”

“...We introduce the systemic tail risk distribution of a financial market to characterize the asset return linkages during financial crisis. This distribution...”