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Search: subject:"Liquidity-adjusted Intraday Value at Risk"
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Liquidity-adjusted intraday Value-at-Risk
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Weiß, Gregor N.F.
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
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Liquidity-adjusted
Intraday
Value
at
Risk
modeling and Risk Management: an Application to Data from Deutsche Börse
Dionne, Georges
;
Pacurar, Maria
;
Zhou, Xiaozhou
-
Centre Interuniversitaire sur le Risque, les Politiques …
-
2014
This paper develops a high-frequency risk measure, the
Liquidity-adjusted
Intraday
Value
at
Risk
(LIVaR). Our objective …
Persistent link: https://www.econbiz.de/10010752077
Saved in:
2
Liquidity-adjusted
Intraday
Value
at
Risk
modeling and risk management : an application to data from Deutsche Börse
Dionne, Georges
;
Pacurar, Maria
;
Zhou, Xiaozhou
- In:
Journal of banking & finance
59
(
2015
),
pp. 202-219
Persistent link: https://www.econbiz.de/10011544444
Saved in:
3
Forecasting
liquidity-adjusted
intraday
Value-at-Risk
with vine copulas
Weiß, Gregor N.F.
;
Supper, Hendrik
- In:
Journal of Banking & Finance
37
(
2013
)
9
,
pp. 3334-3350
liquidity-adjusted
intraday
Value-at-Risk
(L-IVaR). In a preliminary analysis, we document strong extreme comovements in …
Persistent link: https://www.econbiz.de/10011065608
Saved in:
4
Forecasting
liquidity-adjusted
intraday
Value-at-Risk
with vine copulas
Weiß, Gregor
;
Supper, Hendrik
- In:
Journal of banking & finance
37
(
2013
)
9
,
pp. 3334-3350
Persistent link: https://www.econbiz.de/10010126429
Saved in:
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