Großmaß, Lidan - In: Jahrbücher für Nationalökonomie und Statistik 234 (2014) 5, pp. 572-602
Summary We introduce an intuitive method of enhancing low-frequency volatility measures used to compute Value-at-Risk (VaR) by incorporating intradaily liquidity information from the limit order book. Using the quote slope of Hasbrouck and Seppi (2001), a compound liquidity measure comprising...