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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDarolles, Serge
hal.structure.identifierCentre de Recherche en Économie et Statistique [CREST]
dc.contributor.authorFrancq, Christian
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorLe Fol, Gaëlle
hal.structure.identifierCentre de Recherche en Économie et Statistique [CREST]
dc.contributor.authorZakoïan, Jean-Michel
dc.date.accessioned2017-04-03T14:03:11Z
dc.date.available2017-04-03T14:03:11Z
dc.date.issued2016
dc.identifier.issn2115-4430
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16473
dc.language.isoenen
dc.subjectC01en
dc.subjectC58en
dc.subjectC22en
dc.subjectG11en
dc.subjectValue-at-Risken
dc.subjectRisk measuresen
dc.subjectQuasi-Maximum Likelihooden
dc.subjectLiquidityen
dc.subjectGarchen
dc.subject.ddc658.1en
dc.subject.classificationjelC.C0.C01en
dc.subject.classificationjelC.C2.C22en
dc.subject.classificationjelC.C5.C58en
dc.subject.classificationjelG.G1.G11en
dc.titleIntrinsic Liquidity in Conditional Volatility Modelsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenUntil recently the liquidity of financial assets has typically beenviewed as a second-order consideration. Liquidity was frequently associatedwith simple transaction costs that impose - temporary if any- effect on assetprices, and whose shocks could be easily diversified away. Yet the evidenceespeciallythe recent liquidity crisis- suggests that liquidity is now a primaryconcern. This paper aims at disentangling market risk and liquidity riskin the context of conditional volatility models. Our approach allows theisolation of the intrisic liquidity of any asset, and thus makes it possible todeduce a liquidity risk even when volumes are not observed.en
dc.relation.isversionofjnlnameAnnals of Economics and Statistics
dc.relation.isversionofjnlvol123/124en
dc.relation.isversionofjnldate2016-12
dc.relation.isversionofjnlpagesp. 225-245en
dc.relation.isversionofdoi10.15609/annaeconstat2009.123-124.0225en
dc.subject.ddclabelOrganisation et finances d'entrepriseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-04-03T13:31:13Z
hal.identifierhal-01500747*
hal.version1*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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