Artikel
Intraday conditional value at risk: A periodic mixed‐frequency generalized autoregressive score approach
We propose a copula-based periodic mixed frequency generalized autoregressive (GAS) framework in order to model and forecast the intraday exposure conditional value at risk (ECoVaR) for an intraday asset return and the corresponding market return. In particular, we analyze GAS models that account for long-memory-type of dependencies, periodicities, asymmetric nonlinear dependence structures, fat-tailed conditional return distributions, and intraday jump processes for asset returns. We apply our framework in order to analyze the ECoVaR forecasting performance for a large data set of intraday asset returns of the S&P500 index.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Journal of Forecasting ; ISSN: 1099-131X ; Volume: 40 ; Year: 2021 ; Issue: 5 ; Pages: 883-910 ; Hoboken, NJ: Wiley
- Subject
-
CoVaR
dynamic copulas
intraday
systemic risk
- Event
-
Geistige Schöpfung
- (who)
-
Gribisch, Bastian
Eckernkemper, Tobias
- Event
-
Veröffentlichung
- (who)
-
Wiley
- (where)
-
Hoboken, NJ
- (when)
-
2021
- DOI
-
doi:10.1002/for.2744
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Gribisch, Bastian
- Eckernkemper, Tobias
- Wiley
Time of origin
- 2021
Other Objects (12)
The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model
lCARE: localizing conditional autoregressive expectiles
Evaluating models of autoregressive conditional duration
Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
lCARE – localizing Conditional AutoRegressive Expectiles
Statistical inference in conditional heteroskedastic autoregressive models
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Driving quantum systems with periodic conditional measurements
Singular conditional autoregressive Wishart model for realized covariance matrices
A (semi-)parametric functional coefficient autoregressive conditional duration model
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis
The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model
lCARE: localizing conditional autoregressive expectiles
Evaluating models of autoregressive conditional duration
Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
lCARE – localizing Conditional AutoRegressive Expectiles
Statistical inference in conditional heteroskedastic autoregressive models
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Driving quantum systems with periodic conditional measurements
Singular conditional autoregressive Wishart model for realized covariance matrices
A (semi-)parametric functional coefficient autoregressive conditional duration model
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis
The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model
lCARE: localizing conditional autoregressive expectiles
Evaluating models of autoregressive conditional duration
Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
lCARE – localizing Conditional AutoRegressive Expectiles
Statistical inference in conditional heteroskedastic autoregressive models
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Driving quantum systems with periodic conditional measurements
Singular conditional autoregressive Wishart model for realized covariance matrices
A (semi-)parametric functional coefficient autoregressive conditional duration model
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes