Open AccessAssessing Performance of Liquidity Adjusted Value-at-Risk Models
Author(s) -
Vandana Rao Daka,
Sankarshan Basu
Publication year - 2016
Publication title -
international journal of financial research
Language(s) - English
Resource type - Journals
eISSN - 1923-4031
pISSN - 1923-4023
DOI - 10.5430/ijfr.v7n5p87
Subject(s) - market liquidity , econometrics , normality , portfolio , liquidity risk , economics , value at risk , liquidity premium , financial economics , actuarial science , statistics , mathematics , risk management , monetary economics , finance