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Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach

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https://halshs.archives-ouvertes.fr/halshs-01910218
Contributor : Anne l'Azou <>
Submitted on : Wednesday, October 31, 2018 - 4:39:36 PM
Last modification on : Monday, May 25, 2020 - 12:46:02 PM

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Malick Fall, Waël Louhichi, Jean-Laurent Viviani. Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach. Economic Modelling, Elsevier, 2019, 80, pp.75-86. ⟨10.1016/j.econmod.2018.06.008⟩. ⟨halshs-01910218⟩

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