Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
Gregor N. F. Weiß; Hendrik Supper
| Year of publication: |
2013
|
|---|---|
| Authors: | Weiß, Gregor ; Supper, Hendrik |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 9, p. 3334-3350
|
| Subject: | Liquidity | Commonality | Vine copulas | Liquidity-adjusted intraday Value-at-Risk | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Theorie | Theory | ARCH-Modell | ARCH model | Wertpapierhandel | Securities trading | Liquidität |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010126429