This paper analyses several volatility models by examining their ability to forecast the Value-at-Risk (VaR) for two different time periods and two capitalization weighting schemes. Specifically, VaR is calculated for large and small capitalization stocks, based on Dow Jones (DJ) Euro Stoxx...

This paper proposes a method of calculating a Liquidity Adjusted Value-at-Risk (L-VaR) measure. The traditional approaches that have been implemented assume that the financial markets are perfect and hence an investor can either buy or sell any amount of stock without causing significant price...

This paper analyses the application of several volatility models to forecast daily Value-at-Risk (VaR) both for single assets and portfolios. We calculate the VaR number for 4 Greek stocks, 2 portfolios based on these securities and for Athens Stock Exchange General Index (ASE). We model VaR for...

We analyze the components of the bid-ask spread in the Athens Stock Exchange (ASE), which was recently characterized as a developed market. For 18 large and 13 medium capitalization stocks, we estimate the adverse selection and the order handling component of the spreads as well as the...

We evaluate the performance of an extensive family of ARCH models in modeling daily Value-at-Risk (VaR) of perfectly diversified portfolios in five stock indices, using a number of distributional assumptions and sample sizes. We find, first, that leptokurtic distributions are able to produce...

This paper proposes a theoretical and quantitative analysis of the reallocation of labor across firms in response to idiosyncratic shocks of different persistence. Creating and destroying jobs is costly and workers are paid a share of the value of the marginal worker. The model predicts that...

Introduction: Costco Wholesale operated wholesale membership in multiple countries. Costco is open members and offers three types of membership: Executive, Business and Gold Star. These warehouses are designed to help small to medium sized businesses reduce their costs for daily business use....