IDEAS home Printed from https://ideas.repec.org/a/ksa/szemle/1653.html
   My bibliography  Save this article

Doktoranduszhallgatók IV. Nyári Műhelye. MKE-PTE KTK, Pécs, 2016. június 3
[The 4th Summer Workshop of Doctoral Students. Hungarian Economics Association/Pécs University, Faculty of Economics]

Author

Listed:
  • Sebestyén, Tamás

Abstract

No abstract is available for this item.

Suggested Citation

  • Sebestyén, Tamás, 2016. "Doktoranduszhallgatók IV. Nyári Műhelye. MKE-PTE KTK, Pécs, 2016. június 3 [The 4th Summer Workshop of Doctoral Students. Hungarian Economics Association/Pécs University, Faculty of Economics]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 1011-1018.
  • Handle: RePEc:ksa:szemle:1653
    DOI: 10.18414/KSZ.2016.9.1011
    as

    Download full text from publisher

    File URL: http://www.kszemle.hu/tartalom/letoltes.php?id=1653
    Download Restriction: Registration and subscription. 3-month embargo period to non-subscribers.

    File URL: https://libkey.io/10.18414/KSZ.2016.9.1011?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Carlo Acerbi & Giacomo Scandolo, 2008. "Liquidity risk theory and coherent measures of risk," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 681-692.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Csóka Péter & Pintér Miklós, 2016. "On the Impossibility of Fair Risk Allocation," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 16(1), pages 143-158, January.
    2. Csóka, Péter, 2017. "Fair risk allocation in illiquid markets," Finance Research Letters, Elsevier, vol. 21(C), pages 228-234.
    3. Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.
    4. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
    5. Erindi Allaj, 2014. "Risk measuring under liquidity risk," Papers 1412.6745, arXiv.org.
    6. Jianping Li & Lu Wei & Cheng-Few Lee & Xiaoqian Zhu & Dengsheng Wu, 2018. "Financial statements based bank risk aggregation," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 673-694, April.
    7. Hans Rau-Bredow, 2019. "Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures," Risks, MDPI, vol. 7(3), pages 1-18, August.
    8. Havran, Dániel & Erb, Tamás, 2015. "Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája [Trading mechanisms and market frictions. Microstructure of the financial markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-262.
    9. Hevér, Judit, 2017. "A likviditás és a permanens árhatás szerepe a portfólióértékelésben [The role of liquidity policy and permanent price impact in portfolio valuation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 594-611.
    10. Csóka, Péter & Bátyi, Tamás László & Pintér, Miklós & Balog, Dóra, 2011. "Tőkeallokációs módszerek és tulajdonságaik a gyakorlatban [Methods of capital allocation and their characteristics in practice]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 619-632.
    11. Michael Adusei, 2022. "The liquidity risk–financial performance nexus: Evidence from hybrid financial institutions," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(1), pages 31-47, January.
    12. Banerjee, Tathagata & Feinstein, Zachary, 2021. "Price mediated contagion through capital ratio requirements with VWAP liquidation prices," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1147-1160.
    13. Peter Csoka & Judit Hever, 2023. "The Effect of Regulatory Requirements and ESG Promotion on Market Liquidity," MNB Working Papers 2023/1, Magyar Nemzeti Bank (Central Bank of Hungary).
    14. Fabio Caccioli & Jean-Philippe Bouchaud & J. Doyne Farmer, 2012. "A proposal for impact-adjusted valuation: Critical leverage and execution risk," Papers 1204.0922, arXiv.org, revised Aug 2012.
    15. Marcelo Brutti Righi, 2021. "Star-shaped acceptability indexes," Papers 2110.08630, arXiv.org, revised Jun 2022.
    16. Daniel Lacker, 2018. "Liquidity, Risk Measures, and Concentration of Measure," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 813-837, August.
    17. Kountzakis, C. & Polyrakis, I.A., 2013. "Coherent risk measures in general economic models and price bubbles," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 201-209.
    18. Tomasz R. Bielecki & Igor Cialenco & Tao Chen, 2014. "Dynamic Conic Finance via Backward Stochastic Difference Equations," Papers 1412.6459, arXiv.org, revised Dec 2014.
    19. Stange, Sebastian & Kaserer, Christoph, 2008. "Why and how to integrate liquidity risk into a VaR-framework," CEFS Working Paper Series 2008-10, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    20. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2022. "Star-Shaped deviations," Papers 2207.08613, arXiv.org.

    More about this item

    JEL classification:

    • Y90 - Miscellaneous Categories - - Other - - - Other

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ksa:szemle:1653. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Odon Sok (email available below). General contact details of provider: http://www.kszemle.hu .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.