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Intraday Value at Risk (Ivar) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2004CAViaR2,210 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1995Market microstructure theory1,305 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1996Market Microstructure Theory.

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