Forecasting market risk using ultra-high-frequency data and scaling laws
Author:
Affiliation:
1. Management school, Jinan University, Guangzhou, P.R. China.
2. School of Economics and Trade, South China University of Technology, Guangzhou, P.R. China.
Funder
Natural Science Foundation of Guangdong Province
Jinan University scientific research cultivation and Innovation Fund
National Natural Science Foundation of China
Guangdong Natural Science Foundation
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1453166
Reference26 articles.
1. Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)
2. Processes of normal inverse Gaussian type
3. Generalized autoregressive conditional heteroskedasticity
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