Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

liquidity sign in to follow this
bid-ask sign in to follow this
microstructure sign in to follow this
parametric sign in to follow this
Categories:

VaR Methods sign in to follow this
--Liquidity sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
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: 1290
Comment Num: 0
Language: English
Source: Thesis
Who Can Read: Free
Date: 7-6-2014
Publisher: Administrator
Summary
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.
This document may be downloaded without charge from the publisher by clicking the "Buy from Publisher" button (you must be signed in to Gloria-Mundi first).
Author(s)
Derbier, Maxime Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile