Work

Parametric Quantile Autoregressive Conditional Duration Models With Application to Intraday Value‐at‐Risk Forecasting

Year: 2024

Type: article

Source: Journal of Forecasting

DOI: 10.1002/for.3214

Authors: Helton Saulo, Suvra Pal, Rubens Souza, Roberto Vila, Alan Dasilva

Institutions: Universidade de Brasília, The University of Texas at Arlington, Universidade de São Paulo

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

OpenAlex ID: W4404327276

FWCI: 0.36

Cites: 31

Cited by: 1

Related to: 10