Intraday value-at-risk: an asymmetric autoregressive conditional duration approach

DOI10.1016/j.jeconom.2015.03.035zbMath1337.91148OpenAlexW1970560850MaRDI QIDQ888338

Shouwei Liu, Yiu Kuen Tse

Publication date: 30 October 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1871

zbMATH Keywords

market microstructure noisebacktestingasymmetric autoregressive conditional duration modelhigh-frequency transaction dataintraday value-at-risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (3)

Tail conditional moments for elliptical and log-elliptical distributions ⋮ Frontiers in time series and financial econometrics: an overview ⋮ Review of statistical approaches for modeling high-frequency trading data

Uses Software

• CAViaR

Cites Work

• The impact of transaction duration, volume and direction on price dynamics and volatility
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• The Econometrics of Ultra-high-frequency Data

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