Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data
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DOI: 10.1007/s10690-012-9160-1
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- Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
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Keywords
GARCH; Intraday market risk; Intrinsic tail risk index; Realized volatility; Risk management; Seasonality; Value at Risk;All these keywords.
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