Intraday VaR : a copula-based approach

Keli Wang, Xiaoquan Liu, Wuyi Ye

Year of publication:	2023
Authors:	Wang, Keli ; Liu, Xiaoquan ; Ye, Wuyi
Published in:	Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 74.2023, p. 1-21
Subject:	Copula \| Data thinning \| Dynamic dependence \| High-frequency transaction data \| Intraday Value-at-Risk \| Multivariate Verteilung \| Multivariate distribution \| Risikomaß \| Risk measure \| Börsenkurs \| Share price \| Theorie \| Theory \| ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis \| Wertpapierhandel \| Securities trading \| Volatilität \| Volatility \| VAR-Modell \| VAR model \| Schätzung \| Estimation

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