On downside risk predictability through liquidity and trading activity: a quantile regression approach
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References listed on IDEAS
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More about this item
KeywordsValue at Risk; Basel; Liquidity; Trading Activity.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-02 (All new papers)
- NEP-FOR-2011-07-02 (Forecasting)
- NEP-MST-2011-07-02 (Market Microstructure)
- NEP-RMG-2011-07-02 (Risk Management)
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