Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
| Year of publication: |
2013
|
|---|---|
| Authors: | Weiß, Gregor N.F. ; Supper, Hendrik |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 7529053. - Vol. 37.2013, 9, p. 3334-3350
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