Forecasting liquidity‐adjusted VaR : A conditional EVT ‐copula approach
Author:
Affiliation:
1. Indian Institute of Management Lucknow Lucknow India
2. Indian Institute of Management Amritsar Amritsar India
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/rfe.1176
Reference29 articles.
1. Asset pricing with liquidity risk;Acharya V. V.;Journal of Financial Economics,2005
2. Optimal and coherent economic‐capital structures: Evidence from long and short‐sales trading positions under illiquid market perspectives;Al Janabi M. A.;Annals of Operations Research,2013
3. Illiquidity and stock returns: Cross‐section and time‐series effects;Amihud Y.;Journal of Financial Markets,2002
4. Liquidity adjusted value‐at‐risk based on the components of the bid‐ask spread;Angelidis T.;Applied Financial Economics,2006
Cited by 2 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. Liquidity‐adjusted value‐at‐risk using extreme value theory and copula approach;Journal of Forecasting;2024-02-28
2. Nonparametric Copula Density Estimation Methodologies;Mathematics;2024-01-26
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