流动性测试：基于资产陈旧性的统计理论

IF 2 Q2 ECONOMICS

Econometrics and Statistics Pub Date : 2025-07-01 DOI:10.1016/j.ecosta.2022.07.002

Davide Pirino , Alessandro Pollastri , Luca Trapin

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引用次数: 0

摘要

利用资产陈旧性作为流动性代理，提出了两种新的检验统计量，可以对资产的流动性水平和两种资产之间的流动性差异进行推断。建立了这些检验的渐近性质，给出了在多次检验中使用这些检验的正确方法。仿真研究证实，新定义的试验具有良好的有限样本特性。两个应用程序显示了如何将这些测试用于高维环境下投资者的资产配置问题。

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Testing liquidity: A statistical theory based on asset staleness

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.

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来源期刊

Econometrics and Statistics ECONOMICS-

CiteScore

3.10

自引率

10.50%

发文量

期刊介绍： Econometrics and Statistics is the official journal of the networks Computational and Financial Econometrics and Computational and Methodological Statistics. It publishes research papers in all aspects of econometrics and statistics and comprises of the two sections Part A: Econometrics and Part B: Statistics.