[下载]Research paper: high frequency data

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• Computing value at risk with high frequency data.pdf

2005-3-9 07:27:00 上传

[下载]Research paper: high frequency data

Abstract

We compare the computation of value at risk with daily and with high frequency data for the Deutsche mark–US dollar exchange rate. Among the main points considered in the paper are: (a) the comparison of measures of value at risk on the basis of multi-step volatility forecasts; (b) the computation of the degree of fractional differencing for high frequency data in the context of a Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity (FIGARCH) model; and (c) the comparison between deterministic and stochastic models for the filtering of high frequency returns.

Author Keywords: Value at risk; High frequency data; FIGARCH

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关键词：Frequency Research Researc search ARCH Data Research Paper High Frequency

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