A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps (Q2678314)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps |
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A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps (English)
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9 January 2023
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high frequency financial data
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jump volatility
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heterogeneous auto-regression model
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quantile regression
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value at risk
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