Published June 2, 2026
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Identifying Rough Volterra Illiquidity from Fund Discounts
Description
We study a general-equilibrium model in which the market liquidity of an illiquid claim follows a rough (fractional) Volterra process with a self-exciting jump component, and the only observable is the price–NAV discount of a listed fund.
Files
AOF_replication.zip
Files
(1.6 MB)
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