Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - In: Estudios de Economia 41, 1 Year 2014, pp. 5-48
Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...