Computing value at risk with high frequency data
- 31 December 1999
- journal article
- Published by Elsevier BV in Journal of Empirical Finance
- Vol. 6 (5), 431-455
- https://doi.org/10.1016/s0927-5398(99)00008-0
Abstract
No abstract availableThis publication has 21 references indexed in Scilit:
- Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run DependenciesThe Journal of Finance, 1998
- Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency ReturnsThe Journal of Finance, 1997
- Intraday periodicity and volatility persistence in financial marketsJournal of Empirical Finance, 1997
- Answering the Critics: Yes, ARCH Models Do Provide Good Volatility ForecastsPublished by National Bureau of Economic Research ,1997
- Fractionally integrated generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1996
- Modeling and pricing long memory in stock market volatilityJournal of Econometrics, 1996
- ARCH MODELS: PROPERTIES, ESTIMATION AND TESTINGJournal of Economic Surveys, 1993
- A geographical model for the daily and weekly seasonal volatility in the foreign exchange marketJournal of International Money and Finance, 1993
- Intra-Day and Inter-Market Volatility in Foreign Exchange RatesThe Review of Economic Studies, 1991
- The Message in Daily Exchange Rates: A Conditional-Variance TaleJournal of Business & Economic Statistics, 1989