Liquidity-adjusted Intraday Value at Risk modeling and Risk Management: an Application to Data from Deutsche Börse

Preprint OPEN
Georges Dionne; Maria Pacurar; Xiaozhou Zhou;
(2014)
  • Subject: Liquidity-adjusted Intraday Value at Risk, Tick-by-tick data, Log-ACD-VARMA-MGARCH, Ex-ante Liquidity premium, Limit Order Book
    • jel: jel:C22 | jel:C53 | jel:G11 | jel:C41

This paper develops a high-frequency risk measure, the Liquidity-adjusted Intraday Value at Risk (LIVaR). Our objective is to explicitly consider the endogenous liquidity dimension associated with order size. Taking liquidity into consideration when using intraday data ... View more
Share - Bookmark