Intraday value-at-risk: an asymmetric autoregressive conditional duration approach (Q888338): Difference between revisions
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| Property / cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data / rank | |||
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| Property / cites work: The impact of transaction duration, volume and direction on price dynamics and volatility / rank | |||
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Revision as of 23:28, 10 July 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)
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30 October 2015
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high-frequency transaction data
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market microstructure noise
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asymmetric autoregressive conditional duration model
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intraday value-at-risk
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backtesting
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