Abad, 2014, A comprehensive review of Value at Risk methodologies, The Spanish Review of Financial Economics, 12, 15, 10.1016/j.srfe.2013.06.001
Acharya, 2005, Asset pricing with liquidity risk, Journal of Financial Economics, 77, 375, 10.1016/j.jfineco.2004.06.007
Angelidis, 2006, Liquidity adjusted value-at-risk based on the components of the bid-ask spread, Applied Financial Economics, 16, 835, 10.1080/09603100500426440
Bangia, 1999
Basel Committee on Banking Supervision, 1996
Basel Committee on Banking Supervision, 2006
Basel Committee on Banking Supervision, 2011
Basel Committee on Banking Supervision, 2011
Basel Committee on Banking Supervision, 2012
Basel Committee on Banking Supervision, 2013
Basel Committee on Banking Supervision, 2016
Berkowitz, 2000, Incorporating liquidity risk into value-at-risk models, Journal of Derivatives, 5, 32
Bollerslev, 1986, Generalized autoregressive conditional heteroscedasticity, Journal of Econometrics, 21, 307, 10.1016/0304-4076(86)90063-1
Cosandey, 2012, Adjusting value-at-risk for market liquidity, Risk, 25, 94
Embrechts, 1999
Engle, 1993, Measuring and testing the impact of news on volatility, Journal of Finance, 5, 1749, 10.1111/j.1540-6261.1993.tb05127.x
Ernst, 2008
Ernst, 2009
Gerlach, 2011, Bayesian time-varying quantile forecasting for value-at-risk in financial markets, Journal of Business & Economic Statistics, 29, 481, 10.1198/jbes.2010.08203
Giot, 2006, How large is liquidity risk in an automated auction market?, Empirical Economics, 30, 867, 10.1007/s00181-005-0003-z
Morgan, 1996
McAleer, 2013, Has the Basel Accord improved risk management during the global financial crisis?, North American Journal of Economics and Finance, 26, 250, 10.1016/j.najef.2013.02.004
Kyle, 1985, Continuous auctions and insider trading, Econometrica, 53, 1315, 10.2307/1913210
Rossignolo, 2012, Value-at-risk models and basel capital charges. Evidence from emerging and Frontier Stock Markets, Journal of Financial Stability, 8, 303, 10.1016/j.jfs.2011.11.003
Stange, 2008
Stange, 2009