Bricelj, Bor; Strašek, Sebastjan; Jagric, Timotej - In: Management 8 (2013) 3, pp. 183-197
In this article we implement liquidity in the standard value-at-risk framework. We incorporate bid-ask spread into basic VaR models. We then test these models on three foreign markets and on a domestic one. We conclude that liquidity VaR models adequately measure market risk. On one hand, the...