Measuring liquidity risk in an emerging market : liquidity adjusted value at risk approach for high frequency data
Rouetbi Emna; Mamoghli Chokri
| Year of publication: |
2014
|
|---|---|
| Authors: | Emna, Rouetbi ; Chokri, Mamoghli |
| Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 4.2014, 1, p. 40-53
|
| Subject: | Liquidity | intraday value at risk | spread | ACD | Monte Carlo simulation | Risikomaß | Risk measure | Monte-Carlo-Simulation | Liquidität | Schwellenländer | Emerging economies | Risiko | Risk | Volatilität | Volatility | Marktliquidität | Market liquidity | Finanzmarkt | Financial market | Risikomanagement | Risk management | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010519731