Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange

Journal of Empirical Finance

Volumn 16, Issue 5, 2009, Pages 777-792

  Dionne, Georges ^a,b   Duchesne, Pierre ^b,c   Pacurar, Maria ^b,d  

^a HEC MONTRÉAL   (Canada)

^b Center for Research on e Finance   (Canada)

^c UNIVERSITÉ DE MONTRÉAL   (Canada)

^d DALHOUSIE UNIVERSITY   (Canada)

Author keywords

ACD model; Intraday market risk; Intraday Value at Risk (IVaR); Market microstructure; Tick by tick data

Indexed keywords

EID: 70349795960     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2009.05.005     Document Type: Article

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