Fuertes, Ana-Maria; Olmo, Jose - In: Journal of Risk and Financial Management 9 (2016) 3, pp. 1-20
This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight...