Liquidity commonality and risk management

Research English OPEN
Supper, Hendrik; Weiß, Gregor N.F.;
(2012)
  • Subject: info:eu-repo/classification/ddc/310 | info:eu-repo/classification/ddc/330 | info:eu-repo/classification/ddc/620 | commonality | liquidity | liquidity-adjusted intraday Value-at- Risk | vine copulas

We propose to model the joint distribution of bid-ask spreads and log returns of a stock portfolio by using Autoregressive Conditional Double Poisson and GARCH processes for the marginals and vine copulas for the dependence structure. By estimating the joint mu... View more
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