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Monthly Liquidity-Adjusted Value-at-Risk Using Daily Returns
Company: Concordia University
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: March
Resource Link: Click here to open
Download Count: 0
View Count: 1784
Comment Num: 0
Language: English
Source: Thesis
Who Can Read: Free
Date: 7-6-2014
Publisher: Administrator
The purpose of this thesis to to apply liquidity proxies from the microstructure literature based on daily data to estimate the liquidity cost within a monthly parametric Value-at-Risk model to create a parsimonious yet relevant measure of both market and liquidity risk.
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Derbier, Maxime Sign in to follow this author
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