EXcess Idle Time

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2013 Italy English Publisher:The Econometric SocietyJournal:Econometrica, volume 85, pages 1,793-1,846 (issn: 0012-9682,

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Authors: Bandi F. M.; Pirino D.; Reno R.;

doi: 10.3982/ecta13595 , 10.2139/ssrn.2199468

handle: 11562/973661 , 2108/214757

EXcess Idle Time

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Abstract

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Country

Italy

Related Organizations

JOHNS HOPKINS UNIVERSITY
United States
University of Siena
Italy
Johns Hopkins University
United States
EDHEC Business School
France
National Institute for Nuclear Physics
Italy

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Keywords

Economics and Econometrics, liquidity, Liquidity; asymmetric information; liquidity premium; continuous-time semimartingales; infill asymptotics, Martingales with continuous parameter, Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE, 332, infill asymptotics, Liquidity, asymmetric information, continuous-time semimartingale, Liquidity, asymmetric information, liquidity premium, continuous-time semimartingales, infill asymptotics., Actuarial science and mathematical finance, continuous-time semimartingales, liquidity premium

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