Overnight news and daily equity trading risk limits
This paper proposes a new bivariate modeling approach for setting daily equity-trading risk limits using high-frequency data. We construct one-day-ahead Value-at-Risk (VaR) forecasts by taking into account the different dynamics of the overnight and daytime return processes and their covariance. The...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
2015-02-13.
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| Subjects: | |
| Online Access: | Get fulltext |