Forecasting Value-at-Risk Using High-Frequency Information

Forecasting Value-at-Risk Using High-Frequency Information

in the prediction of quantiles of daily Standard&Poor’s 500 (S&P 500) returns we consider how to use high-frequency 5-minute data. We examine methods that incorporate the high frequency information either indirectly, through combining forecasts (using forecasts generated from returns...

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Bibliographic Details
Main Authors: Huiyu Huang, Tae-Hwy Lee
Format: Article
Language:English
Published: MDPI AG 2013-06-01
Series:Econometrics
Subjects:
VaR
Quantiles
Subsample averaging
Bootstrap averaging
Forecast combination
High-frequency data
Online Access:http://www.mdpi.com/2225-1146/1/1/127

Internet

http://www.mdpi.com/2225-1146/1/1/127

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