In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the New York Stock Exchange. Because of the small time horizon of the intraday returns (15 and 30 minute returns), intraday VaR can be useful to market participants (traders, market makers) involved in frequent trading.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Paper provided by Catholique de Louvain - Center for Operations Research and Economics in its series Papers with number
0045.
Length: 24 pages Date of creation: 2000 Date of revision: Handle: RePEc:fth:louvco:0045
Contact details of provider: Postal: BELGIQUE, UNIVERSITE CATHOLIQUE DE LOUVAIN, CENTER FOR OPERATIONS RESEARCH AND ECONOMETRICS (CORE), LOUVAIN-LA-NEUVE, BELGIQUE. Phone: 32(10)474321 Fax: 32(10)474301 Email: Web page: http://www.core.ucl.ac.be/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).