Liquidity adjusted value-at-risk based on the components of the bid-ask spread

Author: Angelidis Timotheos   Benos Alexandros  

Publisher: Routledge Ltd

ISSN: 1466-4305

Source: Applied Financial Economics, Vol.16, Iss.11, 2006-07, pp. : 835-851

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract