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Forecasting value at risk with intra-day return curves · Study

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ArticleForecasting value at risk with intra-day return curves

Gregory Rice2020

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Articlegreen2020

Forecasting value at risk with intra-day return curves

Gregory Rice · Tony S. Wirjanto · Yuqian Zhao

19 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Stock Market Forecasting Methods

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2007Strictly Proper Scoring Rules, Prediction, and Estimation 1994Comparing Predictive Accuracy 2003Modeling and Forecasting Realized Volatility 1998Evaluating Interval Forecasts 2008A Simple Approximate Long-Memory Model of Realized Volatility 1995Techniques for Verifying the Accuracy of Risk Measurement Models 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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2021Intra-day co-movements of crude oil futures: China and the international benchmarks

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Year2020

Typearticle

Published2020-02-26

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations19

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2019.10.006

openalex_workW2992233183

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