dc.contributor.author | Ewald, Christian Oliver | |
dc.contributor.author | Hadina, Jelena | |
dc.contributor.author | Haugom, Erik | |
dc.contributor.author | Lien, Gudbrand | |
dc.contributor.author | Størdal, Ståle | |
dc.contributor.author | Yahya, Muhammad | |
dc.date.accessioned | 2023-09-22T12:51:51Z | |
dc.date.available | 2023-09-22T12:51:51Z | |
dc.date.created | 2023-07-28T22:10:58Z | |
dc.date.issued | 2023 | |
dc.identifier.citation | Finance Research Letters. 2023, 58, 103916. | |
dc.identifier.issn | 1544-6123 | |
dc.identifier.uri | https://hdl.handle.net/11250/3091413 | |
dc.description | © 2023 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license
(http://creativecommons.org/licenses/by/4.0/). | |
dc.description.abstract | 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 108 min for ICE Brent Crude Oil futures and test the outof-sample performance of a set of quantile regression models using formal coverage tests. The results show that a one-factor model performs exceptionally well for most sampling frequencies used to calculate realized volatility. In comparison with the well-known Heterogeneous Autoregressive Model of Realized Volatility (HAR-RV) and a quantile regression version of the HAR model (HAR-QREG), we also find that the one-factor model is much less sensitive to the sampling frequency used to calculate realized volatility. | |
dc.language.iso | eng | |
dc.relation.uri | http://creativecommons.org/licenses/by/4.0/deed.no | |
dc.rights | Navngivelse 4.0 Internasjonal | |
dc.subject | realized volatility | |
dc.subject | sample frequency | |
dc.subject | value-at-risk forecasting | |
dc.subject | HAR-RV | |
dc.subject | HAR-QREG | |
dc.title | Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures | |
dc.type | Peer reviewed | |
dc.type | Journal article | |
dc.description.version | publishedVersion | |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210 | |
dc.source.volume | 58 | |
dc.source.journal | Finance Research Letters | |
dc.identifier.doi | 10.1016/j.frl.2023.103916 | |
dc.identifier.cristin | 2163905 | |
dc.source.articlenumber | 103916 | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |