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Search: subject:"Intraday Value-at-Risk"
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Risikomaß
8
Risk measure
8
ARCH model
6
ARCH-Modell
6
Securities trading
6
Theorie
6
Theory
6
Wertpapierhandel
6
Börsenkurs
5
Estimation
5
Schätzung
5
Share price
5
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4
Liquidity
4
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4
Prognoseverfahren
4
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4
Zeitreihenanalyse
4
Intraday Value-at-Risk
3
Monte-Carlo-Simulation
3
Risikomanagement
3
Risk management
3
Volatility
3
Volatilität
3
ACD
2
Commonality
2
High-frequency transaction data
2
Limit Order Book
2
Liquidity-adjusted Intraday Value at Risk
2
Liquidity-adjusted intraday Value-at-Risk
2
Liquidität
2
Log-ACD-VARMA-MGARCH
2
Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH)
2
Multivariate Verteilung
2
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2
Tick-by-tick data
2
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2
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2
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2
backtests
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10
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4
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Dionne, Georges
3
Pacurar, Maria
3
Chokri, Mamoghli
2
Narsoo, Jason
2
Summinga-Sonagadu, Ravi
2
Supper, Hendrik
2
Zhou, Xiaozhou
2
Dasilva, Alan
1
Duchesne, Pierre
1
Emna, Rouetbi
1
Emnal, Rouetbi
1
GIOT, Pierre
1
Gonpot, Preethee Nunkoo
1
Liu, Shouwei
1
Liu, Xiaoquan
1
Nunkoo, Houmera Bibi Sabera
1
Pal, Suvra
1
Ramanathan, Thekke Variyam
1
Saulo, Helton
1
Sookia, Noor Ul Hacq
1
Souza, Rubens
1
Tse, Yiu Kuen
1
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1
Wang, Keli
1
Weiß, Gregor
1
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1
Ye, Wuyi
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
2
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
1
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1
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1
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1
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ECONIS (ZBW)
8
RePEc
5
EconStor
1
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1
Parametric quantile autoregressive conditional duration models with application to
intraday
value-at-risk
forecasting
Saulo, Helton
;
Pal, Suvra
;
Souza, Rubens
;
Vila, Roberto
; …
- In:
Journal of forecasting
44
(
2025
)
2
,
pp. 589-605
Persistent link: https://www.econbiz.de/10015374068
Saved in:
2
Intraday VaR : a copula-based approach
Wang, Keli
;
Liu, Xiaoquan
;
Ye, Wuyi
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
Saved in:
3
Conditional and unconditional
intraday
value-at-risk
models : an application to high-frequency tick-by-tick exchange-traded fund data
Nunkoo, Houmera Bibi Sabera
;
Sookia, Noor Ul Hacq
; …
- In:
Journal of risk : JOR
26
(
2023
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10014487297
Saved in:
4
Risk model validation: An intraday VaR and ES approach using the multiplicative component GARCH
Summinga-Sonagadu, Ravi
;
Narsoo, Jason
- In:
Risks
7
(
2019
)
1
,
pp. 1-23
In this paper, we employ 99%
intraday
value-at-risk
(VaR) and intraday expected shortfall (ES) as risk metrics to …
Persistent link: https://www.econbiz.de/10013200428
Saved in:
5
Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH
Summinga-Sonagadu, Ravi
;
Narsoo, Jason
- In:
Risks : open access journal
7
(
2019
)
1/10
,
pp. 1-23
In this paper, we employ 99%
intraday
value-at-risk
(VaR) and intraday expected shortfall (ES) as risk metrics to …
Persistent link: https://www.econbiz.de/10012018629
Saved in:
6
Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data
Emnal, Rouetbi
;
Chokri, Mamoghli
- In:
International Journal of Economics and Financial Issues
4
(
2014
)
1
,
pp. 40-53
The present paper introduces an enhanced liquidity adjusted
intraday
value
at
risk
measure named the LIVaR applied to a …
Persistent link: https://www.econbiz.de/10010734372
Saved in:
7
Liquidity-adjusted
Intraday
Value
at
Risk
modeling and Risk Management: an Application to Data from Deutsche Börse
Dionne, Georges
;
Pacurar, Maria
;
Zhou, Xiaozhou
-
Centre Interuniversitaire sur le Risque, les Politiques …
-
2014
This paper develops a high-frequency risk measure, the Liquidity-adjusted
Intraday
Value
at
Risk
(LIVaR). Our objective …
Persistent link: https://www.econbiz.de/10010752077
Saved in:
8
Measuring liquidity risk in an emerging market : liquidity adjusted value at risk approach for high frequency data
Emna, Rouetbi
;
Chokri, Mamoghli
- In:
International journal of economics and financial issues …
4
(
2014
)
1
,
pp. 40-53
Persistent link: https://www.econbiz.de/10010519731
Saved in:
9
Liquidity-adjusted
Intraday
Value
at
Risk
modeling and risk management : an application to data from Deutsche Börse
Dionne, Georges
;
Pacurar, Maria
;
Zhou, Xiaozhou
- In:
Journal of banking & finance
59
(
2015
),
pp. 202-219
Persistent link: https://www.econbiz.de/10011544444
Saved in:
10
Intraday
Value-at-Risk
: an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Saved in:
1
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