Browsing Brage INN by Journals "Finance Research Letters"
Now showing items 1-2 of 2
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Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
(Peer reviewed; Journal article, 2023)In this paper we examine how sensitive Value-at-Risk (VaR) forecasts based on simple linear quantile regressions are to the sampling frequency used to calculate realized volatility. We use sampling frequencies from one to ... -
The US banking crisis in 2023: Intraday attention and price variation of banks at risk
(Peer reviewed; Journal article, 2023-07-11)After interest rate hikes by the FED, the market value of long-duration assets has declined, which in March of 2023 led to a distress of banks subject to a sudden increase in deposit withdrawals. First, Silicon Valley Bank ...