Informace o projektu
Tail Risk Predictions with Liquidity Measures
- Kód projektu
- MUNI/IGA/1116/2021
- Období řešení
- 1/2022 - 12/2022
- Investor / Programový rámec / typ projektu
-
Masarykova univerzita
- Interní grantová agentura MU
- Fakulta / Pracoviště MU
- Ekonomicko-správní fakulta
Modelling and predicting the uncertainty related to the realization of future asset prices plays an integral part in the financial world. In order to capture the size of the tail risk, we may apply several market risk measures, such as value-at-risk (VaR) or expected shortfall (ES), among others. Our aim is to extend the literature by answering, whether, the liquidity measures improve the tail risk predictions.
Publikace
Počet publikací: 1