Some implications of Liquidity risk and related issues
n this master’s thesis, one studies the liquidity of bonds. One considers bid-ask spread and develops four estimators of this liquidity measure based on trading data. One also computes Amihud’s measure. This approach helps to determine liquidity and its associ-ated costs without quotation. One finds out that the Roll, the FHT estimators and the Amihud measure take the lead. One looks at the changes
