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Forecasting Value at Risk via Intra-day Return Curves

Rice, Gregory and Wirjanto, Tony and Zhao, Yuqian (2020) Forecasting Value at Risk via Intra-day Return Curves. International Journal of Forecasting, 36 (3). pp. 1023-1038. DOI https://doi.org/10.1016/j.ijforecast.2019.10.006



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Licence: Creative Commons: Attribution-Noncommercial-No Derivative Works 3.0

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Licence: Creative Commons: Attribution-Noncommercial-No Derivative Works 3.0

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