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- W1809761371 abstract "We introduce a new empirical methodology that takes account of liquidity risk in a Value-at-Risk framework, and quantify liquidity risk premiums for portfolios and individual stocks traded on the automated auction market Xetra which operates at various European exchanges. When constructing liquidity risk measures we allow for the potential price impact incurred by the liquidation of a portfolio. We study the sensitivity of liquidity risk towards portfolio size and VaR time horizon, and interpret its diurnal variation in the light of market microstructure theory." @default.
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- W1809761371 date "2002-01-01" @default.
- W1809761371 modified "2023-10-13" @default.
- W1809761371 title "How Large is Liquidity Risk in an Automated Auction Market?" @default.
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- W1809761371 doi "https://doi.org/10.2139/ssrn.345760" @default.
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