Forecasting intraday volatility and value-at-risk with high-frequency data
type: Item
instance of: scholarly article
title: Forecasting intraday volatility and value-at-risk with high-frequency data
zbMATH Open document ID: 1282.91389
author: Mike K. P. So
author: Rui Xu
published in: Asia-Pacific Financial Markets
publication date: 2013-04-08T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6151419
zbMATH Keywords: GARCH
zbMATH Keywords: intraday market risk
zbMATH Keywords: intrinsic tail risk index
zbMATH Keywords: realized volatility
zbMATH Keywords: risk management
zbMATH Keywords: seasonality
zbMATH Keywords: value at risk
MaRDI profile type: Publication
full work available at URL: s10690-012-9160-1
OpenAlex ID: W2078128220
cites work: The Distribution of Realized Exchange Rate Volatility
cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
cites work: Estimating stochastic volatility models using daily returns and realized volatility simultaneously
cites work: A Tale of Two Time Scales
DOI: 10.1007/S10690-012-9160-1
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description: scientific article; zbMATH DE number 6151419