| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5054983 | Economic Modelling | 2012 | 7 Pages |
Abstract
⺠We verify the existence of extreme illiquidity situations during crisis periods. ⺠The dependence between the assets negotiated on Tunisian stock market is intense. ⺠We measure liquidity risk across Time series-EVT combination models. ⺠We verify the superiority of VaR under dependent hypothesis versus traditional VaR. ⺠Tunisian stock market liquidity measured by VaR (AR (1)-GARCH (1,1)-GPD) model.
Related Topics
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Authors
Awatef Ourir, Wafa Snoussi,