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Liquidity Risk Models/Evidence
Method evidence record

Liquidity Risk Models

Liquidity Risk Models are a family of measures that quantify how easily an asset trades by capturing its price impact, its effective bid-ask spread, and a holding-period adjustment. The family brings together the Amihud illiquidity ratio (Amihud, 2002), the Roll serial-covariance spread estimator (Roll, 1984), and the LOT (Lesmond-Ogden-Trzcinka) realised-spread measure.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Liquidity Risk Measures (Amihud, Roll, LOT)
Taxonomic method record · regression-model / finance
  • Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. · DOI 10.1016/S1386-4181(01)00024-6
  • Roll, R. (1984). A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market. Journal of Finance, 39(4), 1127-1139. · DOI 10.1111/j.1540-6261.1984.tb03897.x
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Curated claims

Claims persisted in the evidence ledger, each with its own assessment.

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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyHAR-RV Modelmachine-suggested · Relational suggestion, not evidence.Same method familyJump-Diffusion Modelmachine-suggested · Relational suggestion, not evidence.Same method familyOLS Regressionmachine-suggested · Relational suggestion, not evidence.Same method familyPairs Tradingmachine-suggested · Relational suggestion, not evidence.Same method familyRisk Parity Portfoliomachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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