Forecasting Value-at-Risk using high frequency data: The realized range model
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| Title: | Forecasting Value-at-Risk using high frequency data: The realized range model |
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| Authors: | Shao, Xi-Dong1, Lian, Yu-Jun2 lianyj@mail.sysu.edu.cn, Yin, Lian-Qian1 |
| Source: | Global Finance Journal. Dec2009, Vol. 20 Issue 2, p128-136. 9p. |
| Database: | Business Source Ultimate |
| ISSN: | 10440283 |
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| DOI: | 10.1016/j.gfj.2008.11.003 |
