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Market liquidity risk : an overview
Stange, Sebastian, (2009)
Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries
Radivojevic, Nikola, (2016)
Hull-White's value at risk model : case study of Baltic equities market
Radivojević, Nikola, (2017)
Modeling coherent trading risk parameters under illiquid market perspective
Al Janabi, Mazin A. M., (2011)
Dynamic equity asset allocation with liquidity-adjusted market risk criterion : appraisal of efficient and coherent portfolios
Economic capital allocation under coherent market liquidity constraints