Rouetbi EMNA, Mamoghli CHOKRİ

Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data

Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data

International Journal of Economics and Financial Issues

2014-Cilt: 4 Sayı: 1

40-53

Liquidity, intraday value at risk, spread, ACD, Monte Carlo simulation.

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