How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation
The work is focused on the Value at Risk and the Expected Shortfallcalculation. We assume the returns to be based on two pillars - the white noise and the stochastic volatility. We assume that the white noise follows the NIG distribution and the volatility is modeled using the nGARCH, NIG-GARCH, tGA...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)
2010
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5337 |