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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Friederich, T.; Kraus, C.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
ILLIX – A New Index for Quantifying Illiquidity 
Abstract:
Illiquidity is a major aspect in risk management, yet there exists no straight-forward quantification of liquidity or illiquidity. We present eight possible measures of liquidity which are partially based on micro structural market data and examine their evolution over time in the context of the development of financial markets. These eight measures form the data basis of the new illiquidity index ILLIX. In this paper, we outline the calculation of this index and show that it is well able to des...    »
 
Intellectual Contribution:
Contribution to Practice 
Zeitschriftentitel:
Journal of Financial Transformation 
Jahr:
2012 
Band / Volume:
34 
Seitenangaben Beitrag:
183-193 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein