A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps

DOI10.1016/J.PHYSA.2022.128253OpenAlexW4306740565MaRDI QIDQ2678314

Yanyan Li

Publication date: 9 January 2023

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2022.128253

zbMATH Keywords

quantile regressionvalue at riskhigh frequency financial datajump volatilityheterogeneous auto-regression model

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• CAViaR

Cites Work

• Jump-robust volatility estimation using nearest neighbor truncation
• On Some Models for Value-At-Risk
• Value at Risk Estimation
• Regression Quantiles
• On a measure of lack of fit in time series models

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