Intraday value-at-risk: an asymmetric autoregressive conditional duration approach (Q888338): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2015.03.035
@@ Property / DOI: 10.1016/j.jeconom.2015.03.035 / rank @@
-Normal rank
@@ Property / author @@
-Yiu Kuen Tse
@@ Property / author: Yiu Kuen Tse / rank @@
-Normal rank
@@ Property / author @@
+Yiu Kuen Tse
@@ Property / author: Yiu Kuen Tse / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+CAViaR
@@ Property / describes a project that uses: CAViaR / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W1970560850
@@ Property / OpenAlex ID: W1970560850 / rank @@
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@@ Property / cites work @@
+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+The impact of transaction duration, volume and direction on price dynamics and volatility
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2015.03.035
@@ Property / DOI: 10.1016/J.JECONOM.2015.03.035 / rank @@
+Normal rank