Using asset staleness as liquidity proxy, two novel test statistics that allow to make inference on the level of liquidity of an asset and on the difference in liquidity between two assets are proposed. The (in-fill) asymptotic properties of the tests are established, and correct procedures to use the tests in multiple testing are provided. A simulation study confirms that the newly defined tests show desirable finite sample properties. Two applications show how the tests can be used for the investor’s asset allocation problem in a high-dimensional setting.
Pirino Davide, Pollastri Alessandro, Trapin Luca (In stampa/Attività in corso). Testing liquidity: A statistical theory based on asset staleness. ECONOMETRICS AND STATISTICS, -, 1-18 [10.1016/j.ecosta.2022.07.002].
Testing liquidity: A statistical theory based on asset staleness
Trapin Luca
In corso di stampa
Abstract
Using asset staleness as liquidity proxy, two novel test statistics that allow to make inference on the level of liquidity of an asset and on the difference in liquidity between two assets are proposed. The (in-fill) asymptotic properties of the tests are established, and correct procedures to use the tests in multiple testing are provided. A simulation study confirms that the newly defined tests show desirable finite sample properties. Two applications show how the tests can be used for the investor’s asset allocation problem in a high-dimensional setting.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.