Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse
Dionne, Georges; Pacurar, Maria; Zhou, Xiaozhou
- 期刊名称Journal of Banking & Finance
- 作者Dionne, Georges; Pacurar, Maria; Zhou, Xiaozhou
- 卷第59卷
- 印刷ISSN0378-4266
- 文件大小1857.16KB
- 发表时间2015-10
- DOI10.1016/j.jbankfin.2015.06.005
- 页码202-219