Intraday value-at-risk: an asymmetric autoregressive conditional duration approach (Q888338): Difference between revisions
From MaRDI portal
Changed an Item |
Changed an Item |
||
| Property / describes a project that uses | |||
| Property / describes a project that uses: CAViaR / rank | |||
Normal rank | |||
Revision as of 06:10, 29 February 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
