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from statistical decision theory to overcome the problem of "elicitability" for ES by jointly modelling ES and VaR, and …
Persistent link: https://www.econbiz.de/10011688247
We propose a new decomposition of the realized covariance matrix into components based on the signs of the underlying high-frequency returns. Under an asymptotic setting in which the sampling interval goes to zero, we derive the asymptotic properties of the resulting realized semicovariance...
Persistent link: https://www.econbiz.de/10012116691