Forecasting intraday volatility and value-at-risk with high-frequency data

DOI10.1007/s10690-012-9160-1zbMath1282.91389OpenAlexW2078128220MaRDI QIDQ1945435

Mike K. P. So, Rui Xu

Publication date: 8 April 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-012-9160-1

zbMATH Keywords

seasonalityGARCHrisk managementrealized volatilityvalue at riskintraday market riskintrinsic tail risk index

Mathematics Subject Classification ID

Related Items (2)

Review of statistical approaches for modeling high-frequency trading data ⋮ Realized BEKK-CAW models

Cites Work

• Estimating stochastic volatility models using daily returns and realized volatility simultaneously
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Distribution of Realized Exchange Rate Volatility
• A Tale of Two Time Scales

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