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Intraday VaR: A copula-based approach
Keli Wang,
Xiaoquan Liu
, Wuyi Ye
Department of Finance, Accounting and Economics
Research output
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Journal Publication
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Article
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peer-review
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Keyphrases
At-risk
100%
Copula-based Approach
100%
Simulation-based
25%
Transaction Data
25%
Estimation Model
25%
Monte Carlo Simulation
25%
Copula Function
25%
Computing Technology
25%
Joint Distribution
25%
Volume Duration
25%
Risk Management Tools
25%
Backtesting
25%
At-risk Prediction
25%
High-frequency Financial Data
25%
Chinese Stocks
25%
W-shaped
25%
Intraday Pattern
25%
Mathematics
Copula
100%
Value at Risk
100%
Monte Carlo
20%
Backtestings
20%
Joint Distribution
20%
Estimated Model
20%
Management Tool
20%
Engineering
Risk Prediction
100%
Alternative Model
100%
Joint Distribution
100%
Economics, Econometrics and Finance
Investors
100%
Risk Management
100%
Monte Carlo Simulation
100%
Computer Science
Value at Risk
100%
Management Tool
20%
Transaction Data
20%
Risk Management
20%
Monte Carlo Simulation
20%
Computing Technology
20%
Alternative Model
20%
Joint Distribution
20%