On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?
This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight close-to-ope...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2016-09-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1911-8074/9/3/10 |