Browsing Brage INN by Subject "value-at-risk forecasting"
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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 ...