The aim of the paper is to accomplish a literature review with regard to different approaches to volatility and Value-at-Risk forecasting. In particular, the attention will focus on time series models that exploit the increasing availability and informative power of high-frequency information. Afterwards, an empirical analysis concerning VaR forecast is carried out
Value-at-Risk forecasting using high-frequency data
Manfe', Gianluca
2019/2020
Abstract
The aim of the paper is to accomplish a literature review with regard to different approaches to volatility and Value-at-Risk forecasting. In particular, the attention will focus on time series models that exploit the increasing availability and informative power of high-frequency information. Afterwards, an empirical analysis concerning VaR forecast is carried outFile in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14247/19844