search for: illiquidity

...Return.Geltner Calculate Geltner liquidity-risk-adjusted return series. David Geltner developed a method to remove estimating/liquidity bias in real estate index returns. It has since been applied to other return series that show autocorrelation or illiquidity effects. The theory is that by correcting for autocorrelation, you are uncovering a "true" return from series of observed returns that contain illiquidity or manual pricing effects. SmoothingIndex Proposed by Getmansky et al to provide a normalize...

...Return.Geltner Calculate Geltner liquidity-risk-adjusted return series. David Geltner developed a method to remove estimating/liquidity bias in real estate index returns. It has since been applied to other return series that show autocorrelation or illiquidity effects. The theory is that by correcting for autocorrelation, you are uncovering a "true" return from series of observed returns that contain illiquidity or manual pricing effects. SmoothingIndex Proposed by Getmansky et al to provide a normalize...