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Intraday Volatility and Value-at-Risk

  • Luc Bauwens
  • Pierre Giot
Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 38)

Abstract

When intraday data are modelled, at least two different approaches can be used. As detailed in Chapter 3 and 4, a first possibility is to deal directly with the irregularly time-spaced data and thus use duration models, or joint models for durations and associated marks (such as the return over the duration). This approach fits well with the literature on market microstructure, which stresses the importance of the times between market events, since they supposedly convey important information.

Keywords

GARCH Model Market Maker Arch Model Kurtosis Coefficient Empirical Quantile 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media Dordrecht 2001

Authors and Affiliations

  • Luc Bauwens
    • 1
  • Pierre Giot
    • 1
    • 2
  1. 1.Université Catholique de Louvain (CORE)Belgium
  2. 2.University of MaastrichtThe Netherlands

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