预测流动性调整后的VaR:一种条件EVT -联结方法

IF 1.2 Q3 BUSINESS, FINANCE

Review of Financial Economics Pub Date : 2022-11-04 DOI:10.1002/rfe.1176

M. Karmakar, Ravi Khadotra

引用次数: 0

摘要

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Forecasting liquidity‐adjusted VaR : A conditional EVT ‐copula approach

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来源期刊

Review of Financial Economics BUSINESS, FINANCE-

CiteScore

2.80

自引率

0.00%

发文量

期刊介绍： The scope of the Review of Financial Economics (RFE) is broad. The RFE publishes original research in finance (e.g. corporate finance, investments, financial institutions and international finance) and economics (e.g. monetary theory, fiscal policy, and international economics). It specifically encourages submissions that apply economic principles to financial decision making. For example, while RFE will publish papers which study the behavior of security prices and those which provide analyses of monetary and fiscal policies, it will offer a special forum for articles which examine the impact of macroeconomic factors on the behavior of security prices.