Blar i Publikasjoner fra Cristin - INN på emneord "HAR-RV"
Viser treff 1-1 av 1
-
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 ...