Forecasting value at risk with intra-day return curves
Gregory Rice, Tony Wirjanto, Yuqian Zhao
| Year of publication: |
2020
|
|---|---|
| Authors: | Rice, Gregory ; Wirjanto, Tony S. ; Zhao, Yuqian |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 3, p. 1023-1038
|
| Subject: | Forecasting comparison | Functional GARCH | Intra-day VaR backtesting | Overnight cumulative intra-day return | Value at risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Theorie | Theory | Deutschland | Germany |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2019.10.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012497181