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Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange
Dionne, Georges; Duchesne, Pierre; Pacurar, Maria
Issue Date : 2005-12

Liquidity-adjusted Intraday Value at Risk Modeling and Risk Management: an Application to Data from Deutsche Börse
Dionne, Georges; Pacurar, Maria; Zhou, Xiaozhou
Issue Date : 2014-03

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