Ourir, Awatef; Snoussi, Wafa - In: Economic Modelling 29 (2012) 5, pp. 1830-1836
Value-at-Risk (VaR) is a widely used tool for assessing financial market risk. In practice, the estimation of liquidity extreme risk by VaR generally uses models assuming independence of bid–ask spreads. However, bid–ask spreads tend to occur in clusters with time dependency, particularly...