Markets liquidity risk under extremal dependence : analysis with VaRs methods
Year of publication: |
2012
|
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Authors: | Ourir, Awatef ; Snoussi, Wafa |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 5, p. 1830-1836
|
Subject: | Value-at-Risk | Liquidity risk | Dependency | Extreme value | Risikomaß | Risk measure | Theorie | Theory | Ausreißer | Outliers | Liquidität | Liquidity | Portfolio-Management | Portfolio selection | Risiko | Risk | Marktliquidität | Market liquidity | Risikomanagement | Risk management | VAR-Modell | VAR model |
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