A new model for forecasting VaR and ES using intraday returns aggregation-Reference-Cited by-同舟云学术

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A new model for forecasting VaR and ES using intraday returns aggregation

Published:2022-11-22 Issue: Volume: Page:
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Song Shijia¹,Li Handong¹^ORCID

Affiliation:

1. School of Systems Science Beijing Normal University Beijing 100875 China

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2932

Reference45 articles.

1. The Generalized Hyperbolic Skew Student's t-Distribution

2. Intraday periodicity and volatility persistence in financial markets

3. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

4. The distribution of realized stock return volatility

5. The Distribution of Realized Exchange Rate Volatility

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