Intrinsic liquidity in conditional volatility models
Year of publication: |
December 2016
|
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Authors: | Darolles, Serge ; LeFol, Gaëlle ; Francq, Christian ; Zakoïan, Jean-Michel |
Published in: |
Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 123/124.2016, p. 225-245
|
Subject: | GARCH | Liquidity | Quasi-Maximum Likelihood | Risk measures | Value-at-Risk | Theorie | Theory | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Liquidität | Messung | Measurement |
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