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
Authors:	Nunkoo, Houmera Bibi Sabera ; Sookia, Noor Ul Hacq ; Gonpot, Preethee Nunkoo ; Ramanathan, Thekke Variyam
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://ebvufind01.dmz1.zbw.eu/10014487297