Intraday value-at-risk: an asymmetric autoregressive conditional duration approach (Q888338)
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scientific article; zbMATH DE number 6502489
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| default for all languages | No label defined |
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| English | Intraday value-at-risk: an asymmetric autoregressive conditional duration approach |
scientific article; zbMATH DE number 6502489 |
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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0.8018462061882019
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0.759138286113739
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0.7394466400146484
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0.7386694550514221
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0.7368677258491516
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