Forecasting intraday volatility and value-at-risk with high-frequency data (Q1945435)
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scientific article; zbMATH DE number 6151419
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting intraday volatility and value-at-risk with high-frequency data |
scientific article; zbMATH DE number 6151419 |
Statements
Forecasting intraday volatility and value-at-risk with high-frequency data (English)
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8 April 2013
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GARCH
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intraday market risk
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intrinsic tail risk index
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realized volatility
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risk management
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seasonality
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value at risk
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0.91346276
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0.9104081
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0.9059311
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0.8914738
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0.88935614
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