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Estimating the VaR of a portfolio subject to price limits and nonsynchronous trading

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  • Chou, Pin-Huang
  • Li, Wen-Shen
  • Lin, Jun-Biao
  • Wang, Jane-Sue

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  • Chou, Pin-Huang & Li, Wen-Shen & Lin, Jun-Biao & Wang, Jane-Sue, 2006. "Estimating the VaR of a portfolio subject to price limits and nonsynchronous trading," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 363-376.
    • Handle: RePEc:eee:finana:v:15:y:2006:i:4-5:p:363-376
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    References listed on IDEAS

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    1. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    2. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    3. Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211.
    4. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    5. Chou, Pin-Huang, 1999. "Modeling daily price limits," International Review of Financial Analysis, Elsevier, vol. 8(3), pages 283-301, March.
    6. Lee, Sang Bin & Kim, Dae Joong, 1997. "Price Limits and Beta," Review of Quantitative Finance and Accounting, Springer, vol. 9(1), pages 35-52, July.
    7. Chou, Pin-Huang, 1997. "A Gibbs sampling approach to the estimation of linear regression models under daily price limits," Pacific-Basin Finance Journal, Elsevier, vol. 5(1), pages 39-62, February.
    8. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
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    Cited by:

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    2. Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.

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