Illiquidity at Risk

By Demetrio Lacava, Paolo Santucci de Magistris

Published 2026-09-01

Everscope rating

1529.2

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Multiplicative Error Model with Jumps (MEM-J) and Heterogeneous Autoregressive (HAR) framework. Problem types: Time Series Forecasting, Risk Management, Density Estimation, Classification, Regression.

arXiv:2609.00943 · Paper rankings

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