Intraday Value-at-Risk and Intraday Seasonality: A Quantile Regression Approach
| Author(s): | PhDr. Vít Bubák, M.A., Ph.D., |
|---|---|
| Type: | Chapter in book |
| Year: | 2010 |
| Number: | 0 |
| ISSN / ISBN: | 978-80-246-1871-5 |
| Published in: | Blaha, Zdenek S. and Magda Pecena (eds.) Advanced Measurement Techniques for Market and Operational Risk |
| Publishing place: | Karolinum |
| Keywords: | high-frequency Data, quantile regression, value-at-risk, backtesting |
| JEL codes: | C52, C53, G15 |
| Suggested Citation: | |
| Grants: | IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development |
| Abstract: |
