Forecasting Value-at-Risk using high frequency data: The realized range model

Global Finance Journal

Volumn 20, Issue 2, 2009, Pages 128-136

  Shao, Xi Dong ^a   Lian, Yu Jun ^b   Yin, Lian Qian ^a  

^a XI'AN JIAOTONG UNIVERSITY   (China)

^b SUN YAT SEN UNIVERSITY   (China)

Author keywords

High frequency data; Realized range; VaR

Indexed keywords

EID: 68049112359     PISSN: 10440283     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.gfj.2008.11.003     Document Type: Article

References (11)

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