Incorporating Asset Liquidity Effects in Risk-Capital Modeling
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DOI: 10.2202/1475-3693.1258
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- Danielsson, Jon & Zigrand, Jean-Pierre, 2006.
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- Hisata, Yoshifumi & Yamai, Yasuhiro, 2000. "Research toward the Practical Application of Liquidity Risk Evaluation Methods," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 18(2), pages 83-127, December.
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- Al Janabi, Mazin A.M., 2012. "Optimal commodity asset allocation with a coherent market risk modeling," Review of Financial Economics, Elsevier, vol. 21(3), pages 131-140.
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