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ECONIS (ZBW)
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3
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19,999
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1
A stochastic programming model to minimize volume
liquidity
risk in commodity trading
Fragnière, Emmanuel
;
Markov, Iliya
- In:
Journal / The Capco Institute : journal of financial …
32
(
2011
),
pp. 133-141
Persistent link: https://www.econbiz.de/10009629242
Saved in:
2
Fair risk allocation in illiquid markets
Csóka, Péter
-
2015
performance evaluation of the divisions. In this paper we use cooperative game
theory
and simulation to assess the possibility to …
Persistent link: https://www.econbiz.de/10010481803
Saved in:
3
Markets
liquidity
risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef
;
Snoussi, Wafa
- In:
Economic modelling
29
(
2012
)
5
,
pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
Saved in:
4
The impact of systemic and illiquidity risk on financing with risky collateral
Lillo, Fabrizio
;
Pirino, Davide
- In:
Journal of economic dynamics & control
50
(
2015
),
pp. 180-202
Persistent link: https://www.econbiz.de/10010486947
Saved in:
5
Stock returns with consumption and illiquidity risks
Márquez De la Cruz, Elena
;
Nieto, Belén
;
Rubio, Gonzalo
- In:
International review of economics & finance : IREF
29
(
2014
),
pp. 57-74
Persistent link: https://www.econbiz.de/10010431504
Saved in:
6
Liquidity
Risk?
Pontiff, Jeffrey
-
2019
We revisit the role of
liquidity
risk. We successfully replicate Pastor and Stambaugh's (2003) gamma
liquidity
risk … compensation for
liquidity
risk. We create five alternative
liquidity
risk indices from various popular
liquidity
proxies. Using …
Persistent link: https://www.econbiz.de/10012894394
Saved in:
7
The pricing of the illiquidity factor’s conditional risk with time-varying premium
Amihud, Yakov
;
Noh, Joonki
- In:
Journal of financial markets
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013282487
Saved in:
8
Liquidity
risk
Li, Larry
- In:
Commercial banking risk management : regulation in the …
,
(pp. 103-119)
.
2017
Persistent link: https://www.econbiz.de/10011607020
Saved in:
9
Asset pricing with downside
liquidity
risks
Anthonisz, Sean A.
;
Putniņš, Tālis J.
- In:
Management science : journal of the Institute for …
63
(
2017
)
8
,
pp. 2549-2572
Persistent link: https://www.econbiz.de/10011741402
Saved in:
10
Asset Pricing Anomalies –
Liquidity
Risk Spreaders or
Liquidity
Risk Hedgers?
Virk, Nader
-
2020
A unified explanation of risk and mispricing in stock returns underpinned by their aggregate
liquidity
risk is … presented. We argue alternating
liquidity
exposures depict two distinct investment preferences-hedging against aggregate …
liquidity
risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …
Persistent link: https://www.econbiz.de/10012847658
Saved in:
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