Project information
Tail Risk Predictions with Liquidity Measures

Information

This project doesn't include Faculty of Arts. It includes Faculty of Economics and Administration. Official project website can be found on muni.cz.
Project Identification
MUNI/IGA/1116/2021
Project Period
1/2022 - 12/2022
Investor / Pogramme / Project type
Masaryk University
MU Faculty or unit
Faculty of Economics and Administration

Modelling and predicting the uncertainty related to the realization of future asset prices plays an integral part in the financial world. In order to capture the size of the tail risk, we may apply several market risk measures, such as value-at-risk (VaR) or expected shortfall (ES), among others. Our aim is to extend the literature by answering, whether, the liquidity measures improve the tail risk predictions.

Publications

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