Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas

Journal of Banking and Finance

Volumn 37, Issue 9, 2013, Pages 3334-3350

  Weiß, Gregor N F ^a   Supper, Hendrik ^a  

^a TU DORTMUND UNIVERSITY   (Germany)

Author keywords

Commonality; Liquidity; Liquidity adjusted intraday Value at Risk; Vine copulas

Indexed keywords

EID: 84879385312     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2013.05.013     Document Type: Article

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