FARVaR: Functional Autoregressive Value-at-Risk.

Motivated by the stylized fact that intraday returns can provide additional information on the tail behavior of daily returns, we propose a functional autoregressive value-at-risk (VaR) approach which can directly incorporate such informational advantage into the daily VaR forecast. Our approach lea...

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Detalles Bibliográficos

Publicado en:	Journal of Financial Econometrics Vol. 17; no. 2; pp. 284 - 338
Autores principales:	Cai, Charlie X, Kim, Minjoo, Shin, Yongcheol, Zhang, Qi
Formato:	Artículo
Publicado:	Oxford University Press / USA Spring2019
Materias:	Value at risk Autoregressive models Stock exchanges Density functionals Rate of return
Acceso en línea:	Ver este registro en EBSCOhost