Research of Liquidity-adjusted Value at Risk in Taiwan Stock Futures
碩士 === 靜宜大學 === 會計學系 === 103 === This paper combines Bangia et al.(1999) and Al Janabi(2008, 2010, 2012) empirical concepts of risk for traditional value at risk. The liquidity-adjusted value at risk includes exoside liquidity risk and ender liquidity risk. The liquidity-adjusted value is evaluated...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18271742009610057193 |