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Liquidity-Adjusted Intraday Value at Risk Modeling and Risk Management : An Application to Data from Deutsche Börse

Dionne, Georges - 2014

This paper develops a high-frequency risk measure, the Liquidity-adjusted Intraday Value at Risk (LIVaR). Our objective is to explicitly consider the endogenous liquidity dimension associated with order size. Taking liquidity into consideration when using intraday data is important because...

Persistent link: https://www.econbiz.de/10013058314

Is staged financing designed for alleviating risks or agency problems?

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