Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse

Author:

Dionne Georges,Pacurar Maria,Zhou Xiaozhou

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Cited by 11 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. Intraday VaR: A copula-based approach;Journal of Empirical Finance;2023-12

2. Does green improve portfolio optimisation?;Energy Economics;2023-08

3. Assessing liquidity‐adjusted risk forecasts;Journal of Forecasting;2021-02-17

4. Bayesian inference for the log-symmetric autoregressive conditional duration model;Anais da Academia Brasileira de Ciências;2021

5. Liquidity, implied volatility and tail risk: A comparison of liquidity measures;International Review of Financial Analysis;2020-05

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