Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Shouwei Liu, Yiu-Kuen Tse
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Liu, Shouwei ; Tse, Yiu Kuen |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 189.2015, 2, p. 437-446
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| Subject: | High-frequency transaction data | Market microstructure noise | Asymmetric autoregressive conditional duration model | Intraday Value-at-Risk | Backtesting | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation | Dauer | Duration | Zeitreihenanalyse | Time series analysis | Autokorrelation | Autocorrelation | Statistische Bestandsanalyse | Duration analysis | Wertpapierhandel | Securities trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.03.035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011504612