Parametric quantile autoregressive conditional duration models with application to intraday value-at-risk forecasting
Helton Saulo, Suvra Pal, Rubens Souza, Roberto Vila, Alan Dasilva
| Year of publication: |
2025
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|---|---|
| Authors: | Saulo, Helton ; Pal, Suvra ; Souza, Rubens ; Vila, Roberto ; Dasilva, Alan |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 44.2025, 2, p. 589-605
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| Subject: | conditional quantile | financial transaction data | intraday value-at-risk | Monte Carlo simulation | quantile-based log-symmetric distributions | Risikomaß | Risk measure | Monte-Carlo-Simulation | ARCH-Modell | ARCH model | Theorie | Theory | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Wertpapierhandel | Securities trading | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3214 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374068