Intraday value-at-risk: an asymmetric autoregressive conditional duration approach (Q888338): Difference between revisions
From MaRDI portal
Changed an Item |
Normalize DOI. |
||
| (4 intermediate revisions by 4 users not shown) | |||
| Property / DOI | |||
| Property / DOI: 10.1016/j.jeconom.2015.03.035 / rank | |||
| Property / describes a project that uses | |||
| Property / describes a project that uses: CAViaR / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1970560850 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The Econometrics of Ultra-high-frequency Data / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The impact of transaction duration, volume and direction on price dynamics and volatility / rank | |||
Normal rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.JECONOM.2015.03.035 / rank | |||
Normal rank | |||
Latest revision as of 07:11, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Intraday value-at-risk: an asymmetric autoregressive conditional duration approach |
scientific article |
Statements
Intraday value-at-risk: an asymmetric autoregressive conditional duration approach (English)
0 references
30 October 2015
0 references
high-frequency transaction data
0 references
market microstructure noise
0 references
asymmetric autoregressive conditional duration model
0 references
intraday value-at-risk
0 references
backtesting
0 references
