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Search: subject:"Subordinated process"
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Dimitriadis, Timo
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Halbleib, Roxana
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Beiträge zur Jahrestagung des Vereins für Socialpolitik 2019: 30 Jahre Mauerfall - Demokratie und Marktwirtschaft - Session: Financial Econometrics II
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Realized quantiles
Dimitriadis, Timo
;
Halbleib, Roxana
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1346-1361
Persistent link: https://www.econbiz.de/10013539526
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2
How informative is high-frequency data for tail risk estimation and forecasting? An intrinsic time perspectice
Halbleib, Roxana
;
Dimitriadis, Timo
-
2019
This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...
Persistent link: https://www.econbiz.de/10012099231
Saved in:
3
How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice
Dimitriadis, Timo
;
Halbleib, Roxana
-
2019
This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...
Persistent link: https://www.econbiz.de/10012317619
Saved in:
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