Conditional and unconditional intraday value-at-risk models : an application to high-frequency tick-by-tick exchange-traded fund data
Houmera Bibi Sabera Nunkoo, Noor-Ul-Hacq Sookia, Preethee Nunkoo Gonpot and Thekke Variyam Ramanathan
| Year of publication: |
2023
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|---|---|
| Authors: | Nunkoo, Houmera Bibi Sabera ; Sookia, Noor Ul Hacq ; Gonpot, Preethee Nunkoo ; Ramanathan, Thekke Variyam |
| Published in: |
Journal of risk : JOR. - London : Infopro Digital Risk, ISSN 1755-2842, ZDB-ID 2091446-5. - Vol. 26.2023, 2, p. 1-31
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| Subject: | intraday value-at-risk (IVaR) | high-frequency data | generalized autoregressive conditional heteroscedasticity (GARCH) model | skewed distribution | forecasting | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Schätztheorie | Estimation theory | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Börsenkurs | Share price | Wertpapierhandel | Securities trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2023.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014487297