The Econometrics of Systemic Risk under Market Microstructure and Liquidity Frictions
Scientific-Disciplinary Group
13/ECON-05 - Econometrics
Description
This project develops an innovative framework to measure and monitor volatility and liquidity risks within a systemic risk context.Unlike traditional metrics (such as the Amihud measure), which are limited by low-frequency data and market microstructure noise, this research proposes high-frequency, non-parametric measures. Based on realized volatility theory and infill asymptotics, these metrics precisely estimate market depth at an intraday level.The objective is to decompose trading volume into:A persistent liquidity componentSudden jumps (shocks driven by new information)The analysis highlights the dynamic properties of liquidity risk (clustering, persistence, and asymmetric responses to market downturns), empirically demonstrating that illiquidity shocks represent a significant, market-priced risk that is crucial for price efficiency.
Compensation
28,456 Euro
Job posting website
Number of positions
1
Maximum duration
24.0
Funding body
Luiss Guido Carli
View the original posting on the MUR website: Go to MUR website