Table_5.xls (5.5 kB)

VaR prediction.

dataset

posted on 2015-09-30, 03:21 authored by Maria Elvira Mancino, Maria Cristina Recchioni

Intraday VaR predictions obtained analyzing illiquid and liquid data with the Fourier and the TS estimators (sampling rate: one observation per minute).

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FIB 30 indices spot volatility estimates Fourier Spot Volatility Estimator U.S Fourier spot volatility estimates microstructure noise specifications asset price observations Fourier estimator frequency data

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CC BY 4.0

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