The impact of liquidity on portfolio value-at-risk forecasts-Reference-Cited by-同舟云学术

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The impact of liquidity on portfolio value-at-risk forecasts

Published:2019-08-04 Issue:3 Volume:52 Page:242-259
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Hung Jui-Cheng¹^ORCID,Su Jung-Bin²,Chang Matthew C.³,Wang Yi-Hsien¹

Affiliation:

1. Department of Banking and Finance, Chinese Culture University, Taipei, Taiwan

2. Department of Finance, China University of Science and Technology, Taipei, Taiwan

3. Department of International Business Administration, Chinese Culture University, Taipei, Taiwan

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2019.1644442

Reference37 articles.

1. Integrating Liquidity Risk Factor into a Parametric Value at Risk Method

2. A generalized theoretical modelling approach for the assessment of economic-capital under asset market liquidity risk constraints

3. Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives

4. Illiquidity and stock returns: cross-section and time-series effects

5. Liquidity adjusted value-at-risk based on the components of the bid-ask spread

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war;Quality & Quantity;2024-04-15

2. Liquidity Jump, Liquidity Diffusion, and Portfolio of Assets with Extreme Liquidity;SSRN Electronic Journal;2024

3. Forecasting liquidity‐adjusted VaR : A conditional EVT ‐copula approach;Review of Financial Economics;2022-11-04

4. Optimal Investment Portfolios for Internet Money Funds Based on LSTM and La-VaR: Evidence from China;Mathematics;2022-08-11

5. A Novel Modeling Technique for the Forecasting of Multiple-Asset Trading Volumes: Innovative Initial-Value-Problem Differential Equation Algorithms for Reinforcement Machine Learning;Complexity;2022-03-17

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