Forecasting market risk using ultra-high-frequency data and scaling laws

DOI10.1080/14697688.2018.1453166zbMath1406.91493OpenAlexW2801903755WikidataQ129912512 ScholiaQ129912512MaRDI QIDQ4619546

Jun Qi, Lan Yi, Yi-Yun Chen

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1453166

zbMATH Keywords

scaling lawsmarket riskbig dataValue-at-Riskultra-high-frequency data

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Uses Software

• plfit

Cites Work

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• Processes of normal inverse Gaussian type
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Multi-scaling in finance
• Markov-Switching GARCH Modelling of Value-at-Risk
• Power-Law Distributions in Empirical Data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• MANAGING BOTH SIGN AND SIZE OF FLUCTUATIONS WITHIN THE n-ZIPF FRAMEWORK
• Empirical properties of asset returns: stylized facts and statistical issues

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