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Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse

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
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