Markets liquidity risk under extremal dependence : analysis with VaRs methods
Awatef Ourir; Wafa Snoussi
| Year of publication: |
2012
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|---|---|
| Authors: | Ourir, Awatef ; Snoussi, Wafa |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 5, p. 1830-1836
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| Subject: | Value-at-Risk | Liquidity risk | Dependency | Extreme value | Risikomaß | Risk measure | Ausreißer | Outliers | Theorie | Theory | Liquidität | Liquidity | Risikomanagement | Risk management | Marktliquidität | Market liquidity | Risiko | Risk | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model |
| 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/10009667092