Duration models and value at risk using high-frequency data for the peruvian stock market
Most empirical studies in nance use data on a daily basis which is obtained by retaining the last observation of the day and ignoring all intraday records. However, as a result of the increased automatization of nancial markets and the evolution of computational trading systems, intraday data b...
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| Format: | Dissertation |
| Language: | English |
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Pontificia Universidad Católica del Perú
2017
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| Online Access: | http://hdl.handle.net/20.500.12404/7890 |
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