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subject:"Risiko"
subject:"Welt"
~isPartOf:"Journal of banking & finance"
~person:"Aramonte, Sirio"
~person:"Dionne, Georges"
~subject:"Risk measure"
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Journal of banking & finance
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Liquidity-adjusted Intraday Value at Risk modeling and risk management : an application to data from Deutsche Börse
Dionne, Georges
;
Pacurar, Maria
;
Zhou, Xiaozhou
- In:
Journal of banking & finance
59
(
2015
),
pp. 202-219
Persistent link: https://www.econbiz.de/10011544444
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2
Dynamic factor Value-at-Risk for large heteroskedastic portfolios
Aramonte, Sirio
;
Giudice Rodriguez, Marius del
;
Wu, Jason
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4299-4309
Persistent link: https://www.econbiz.de/10010247041
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