Intraday VaR : a copula-based approach
Keli Wang, Xiaoquan Liu, Wuyi Ye
| Year of publication: |
2023
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|---|---|
| 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
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2023.101419 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014477064