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How Informative Is High-Frequency Data for Tail Risk Estimation and Forecasting? An Intrinsic Time Perspective
Dimitriadis, Timo - 2018
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/10012910932
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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
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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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Data-based ranking of realised volatility estimators
Patton, Andrew J. - In: Journal of econometrics 161 (2011) 2, pp. 284-303
Persistent link: https://www.econbiz.de/10009242129
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Volatillity forecast comparison using imperfect volatility proxies
Patton, Andrew J. - In: Journal of econometrics 160 (2011) 1, pp. 246-256
Persistent link: https://www.econbiz.de/10009242521
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Copula-based models for financial time series
Patton, Andrew J. - In: Handbook of financial time series, (pp. 767-785). 2009
Persistent link: https://www.econbiz.de/10003834225
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Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - 2013
Persistent link: https://www.econbiz.de/10010231950
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Volatility forecast comparison using imperfect volatility proxies
Patton, Andrew J. - 2006
Persistent link: https://www.econbiz.de/10003329784
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Evaluating volatility and correlation forecasts
Patton, Andrew J.; Sheppard, Kevin - In: Handbook of financial time series, (pp. 801-838). 2009
Persistent link: https://www.econbiz.de/10003834236
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Optimal combinations of realised volatility estimators
Patton, Andrew J.; Sheppard, Kevin - In: International journal of forecasting 25 (2009) 2, pp. 218-238
Persistent link: https://www.econbiz.de/10003870045