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- W2380029180 abstract "A method for computing Liquidity-adjusted expected shortfall (La-ES ) was investigated by the copula function based on the bid-ask spread. Firstly, the MGARCH models for continuous yields sequence of both mid-price and of bid-ask were constructed. Secondly, normalized residual error of this model was also modeled by implementing copula function to truly reflect the relationship between mid-price and bid-ask. Finally, a concrete example was given to illustrate how to compute La-ES by copula. The results of the present research show that notable lever effects are found both in the continuous yields sequence of mid-price and bid-ask spread. Moreover, signs of the coefficients of lever effect are contrary to each other. Furthermore, a negative dependent relationship between the continuous yields sequence of mid-price and that of bid-ask spread is also discovered while estimating the parameters of copula function, which agrees with the common knowledge in financial field." @default.
- W2380029180 created "2016-06-24" @default.
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- W2380029180 date "2009-01-01" @default.
- W2380029180 modified "2023-09-23" @default.
- W2380029180 title "Methods for Computing La-ES Based on Copula" @default.
- W2380029180 hasPublicationYear "2009" @default.
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