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

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The present paper introduces an enhanced liquidity adjusted intraday value at risk measure named the LIVaR applied to a sample of listed securities in an emerging market; namely the Tunis Stock Exchange (BVMT). Very specific econometric tools were used to perform models that suit the statistical pro...

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Bibliographic Details
Main Authors: Rouetbi Emna, Mamoghli Chokri
Format: Article
Language:English
Published: EconJournals 2014-03-01
Series:International Journal of Economics and Financial Issues
Subjects:
liquidity
intraday value at risk
spread
acd
monte carlo simulation.
Online Access:https://dergipark.org.tr/tr/pub/ijefi/issue/31961/351979?publisher=http-www-cag-edu-tr-ilhan-ozturk

Internet

https://dergipark.org.tr/tr/pub/ijefi/issue/31961/351979?publisher=http-www-cag-edu-tr-ilhan-ozturk

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