Overnight news and daily equity trading risk limits
Year of publication: |
2016
|
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Authors: | Ahoniemi, Katja ; Fuertes, Ana María ; Olmo, Jose |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 3, p. 525-551
|
Subject: | overnight | price discovery | realized volatility | risk management | Value-at-Risk | Volatilität | Volatility | Risikomaß | Risk measure | Risikomanagement | Risk management | Börsenkurs | Share price | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Wertpapierhandel | Securities trading | Prognoseverfahren | Forecasting model |
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