Quantile-based GARCH-MIDAS: Estimating value-at-risk using mixed-frequency information

2021 ◽  
pp. 101965
Author(s):  
Yan Xu ◽  
Xinyu Wang ◽  
Hening Liu
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Mixed Frequency ◽  
Frequency Information

scholarly journals Forecasting Value-at-Risk Using High-Frequency Information

Econometrics ◽  
2013 ◽  
Vol 1 (1) ◽  
pp. 127-140 ◽  
Author(s):  
Huiyu Huang ◽  
Tae-Hwy Lee
Keyword(s):  
At Risk ◽  
High Frequency ◽  
Value At Risk ◽  
Frequency Information

Extremwerttheorie und Value-at-Risk

2015 ◽  
Vol 44 (5) ◽  
pp. 259-267
Author(s):  
Frank Schuhmacher ◽  
Benjamin R. Auer
Keyword(s):  
At Risk ◽  
Value At Risk

Value at Risk

Controlling ◽  
2004 ◽  
Vol 16 (7) ◽  
pp. 425-426
Author(s):  
Mischa Seiter ◽  
Sven Eckert
Keyword(s):  
At Risk ◽  
Value At Risk

Stress Testing in a Value at Risk Framework

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 76-78
Author(s):  
Thomas J. Latta
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stress Testing ◽  
A Value ◽  
Risk Framework

Value at Risk

2007 ◽  
Author(s):  
Arndt P. Funken ◽  
Alexander Obeid
Keyword(s):  
At Risk ◽  
Value At Risk
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