Matches in SemOpenAlex for { <https://semopenalex.org/work/W280207461> ?p ?o ?g. }
Showing items 1 to 83 of
83
with 100 items per page.
- W280207461 endingPage "197" @default.
- W280207461 startingPage "183" @default.
- W280207461 abstract "In this article we implement liquidity in the standard value-at-risk framework. We incorporate bid-ask spread into basic VaR models. We then test these models on three foreign markets and on a domestic one. We conclude that liquidity VaR models adequately measure market risk. On one hand, the liquidity VaR methodology represents advancement in market risk analysis, but on the other hand, those models are not yet robust enough to pass all backtests. Comparing the results between markets we conclude that the results for the domestic market are comparable to those of foreign ones despite their size difference." @default.
- W280207461 created "2016-06-24" @default.
- W280207461 creator A5051231330 @default.
- W280207461 creator A5056671363 @default.
- W280207461 creator A5080386042 @default.
- W280207461 date "2013-01-01" @default.
- W280207461 modified "2023-10-15" @default.
- W280207461 title "The Influence of Liquidity Risk on Value-at-Risk Calculations" @default.
- W280207461 hasPublicationYear "2013" @default.
- W280207461 type Work @default.
- W280207461 sameAs 280207461 @default.
- W280207461 citedByCount "0" @default.
- W280207461 crossrefType "posted-content" @default.
- W280207461 hasAuthorship W280207461A5051231330 @default.
- W280207461 hasAuthorship W280207461A5056671363 @default.
- W280207461 hasAuthorship W280207461A5080386042 @default.
- W280207461 hasConcept C10138342 @default.
- W280207461 hasConcept C105795698 @default.
- W280207461 hasConcept C106159729 @default.
- W280207461 hasConcept C144133560 @default.
- W280207461 hasConcept C149782125 @default.
- W280207461 hasConcept C162324750 @default.
- W280207461 hasConcept C176923680 @default.
- W280207461 hasConcept C183582576 @default.
- W280207461 hasConcept C189259953 @default.
- W280207461 hasConcept C2776291640 @default.
- W280207461 hasConcept C2780821815 @default.
- W280207461 hasConcept C2781472820 @default.
- W280207461 hasConcept C32896092 @default.
- W280207461 hasConcept C33923547 @default.
- W280207461 hasConcept C43071985 @default.
- W280207461 hasConcept C556758197 @default.
- W280207461 hasConcept C73858035 @default.
- W280207461 hasConcept C94128290 @default.
- W280207461 hasConceptScore W280207461C10138342 @default.
- W280207461 hasConceptScore W280207461C105795698 @default.
- W280207461 hasConceptScore W280207461C106159729 @default.
- W280207461 hasConceptScore W280207461C144133560 @default.
- W280207461 hasConceptScore W280207461C149782125 @default.
- W280207461 hasConceptScore W280207461C162324750 @default.
- W280207461 hasConceptScore W280207461C176923680 @default.
- W280207461 hasConceptScore W280207461C183582576 @default.
- W280207461 hasConceptScore W280207461C189259953 @default.
- W280207461 hasConceptScore W280207461C2776291640 @default.
- W280207461 hasConceptScore W280207461C2780821815 @default.
- W280207461 hasConceptScore W280207461C2781472820 @default.
- W280207461 hasConceptScore W280207461C32896092 @default.
- W280207461 hasConceptScore W280207461C33923547 @default.
- W280207461 hasConceptScore W280207461C43071985 @default.
- W280207461 hasConceptScore W280207461C556758197 @default.
- W280207461 hasConceptScore W280207461C73858035 @default.
- W280207461 hasConceptScore W280207461C94128290 @default.
- W280207461 hasIssue "3" @default.
- W280207461 hasLocation W2802074611 @default.
- W280207461 hasOpenAccess W280207461 @default.
- W280207461 hasPrimaryLocation W2802074611 @default.
- W280207461 hasRelatedWork W1536373575 @default.
- W280207461 hasRelatedWork W1594769572 @default.
- W280207461 hasRelatedWork W1601336394 @default.
- W280207461 hasRelatedWork W2049243239 @default.
- W280207461 hasRelatedWork W2152780809 @default.
- W280207461 hasRelatedWork W2198162739 @default.
- W280207461 hasRelatedWork W2245025723 @default.
- W280207461 hasRelatedWork W2259164206 @default.
- W280207461 hasRelatedWork W2271526008 @default.
- W280207461 hasRelatedWork W2415130911 @default.
- W280207461 hasRelatedWork W2501102115 @default.
- W280207461 hasRelatedWork W2794622010 @default.
- W280207461 hasRelatedWork W2808629459 @default.
- W280207461 hasRelatedWork W2889984728 @default.
- W280207461 hasRelatedWork W3082537828 @default.
- W280207461 hasRelatedWork W3121444379 @default.
- W280207461 hasRelatedWork W3122022734 @default.
- W280207461 hasRelatedWork W3122439238 @default.
- W280207461 hasRelatedWork W3140218329 @default.
- W280207461 hasRelatedWork W3175880534 @default.
- W280207461 hasVolume "8" @default.
- W280207461 isParatext "false" @default.
- W280207461 isRetracted "false" @default.
- W280207461 magId "280207461" @default.
- W280207461 workType "article" @default.