Pranckevičiūtė, Milda - 2011
Value-at-risk (VaR) model as a tool to estimate market risk is considered in the thesis. It is a statistical model … currencies position VaR estimates’ dependence on data aggregation functions (pointwise, maximum value, minimum value and average …. In the last chapter of the thesis the empirical study about Hurst index intraday value dependence on data aggregation …