Forecasting liquidity-adjusted VaR : a conditional EVT-copula approach
Year of publication: |
2023
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Authors: | Karmakar, Madhusudan ; Khadotra, Ravi |
Published in: |
Review of financial economics : RFE. - Hoboken, NJ : Wiley, ISSN 1873-5924, ZDB-ID 2015922-5. - Vol. 41.2023, 3, p. 283-321
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Subject: | copula | EVT | GP-INGARCH | liquidity adjusted VaR | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | VAR-Modell | VAR model | Liquidität | Liquidity | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
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