Liquidity-adjusted Intraday Value at Risk modeling and risk management : an application to data from Deutsche Börse
Georges Dionne, Maria Pacurar, Xiaozhou Zhou
| Year of publication: |
October 2015
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|---|---|
| Authors: | Dionne, Georges ; Pacurar, Maria ; Zhou, Xiaozhou |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 59.2015, p. 202-219
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| Subject: | Liquidity-adjusted Intraday Value at Risk | Tick-by-tick data | Log-ACD-VARMA-MGARCH | Ex-ante liquidity premium | Limit Order Book | Risikomaß | Risk measure | Risikomanagement | Risk management | Wertpapierhandel | Securities trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.06.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011544444