Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
Year of publication: |
2013
|
---|---|
Authors: | Weiß, Gregor N.F. ; Supper, Hendrik |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 37.2013, 9, p. 3334-3350
|
Publisher: |
Elsevier |
Subject: | Liquidity | Commonality | Vine copulas | Liquidity-adjusted intraday Value-at-Risk |
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