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~subject:"Intrinsic Time"
~type_genre:"Conference Paper"
~type_genre:"Systematic review"
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Beiträge zur Jahrestagung des Vereins für Socialpolitik 2019: 30 Jahre Mauerfall - Demokratie und Marktwirtschaft - Session: Financial Econometrics II
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How informative is high-frequency data for tail risk estimation and forecasting? An intrinsic time perspectice
Halbleib, Roxana
;
Dimitriadis, Timo
-
2019
This paper proposes a novel and simple approach to compute daily
Value
at
Risk
(VaR) and Expected Shortfall (ES …
Persistent link: https://www.econbiz.de/10012099231
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