Universität zu Köln

Gribisch, Bastian and Eckernkemper, Tobias (2021). Intraday conditional value at risk: A periodic mixed-frequency generalized autoregressive score approach. J. Forecast., 40 (5). S. 883 - 911. HOBOKEN: WILEY. ISSN 1099-131X

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Abstract

We propose a copula-based periodic mixed frequency generalized autoregressive (GAS) framework in order to model and forecast the intraday exposure conditional value at risk (ECoVaR) for an intraday asset return and the corresponding market return. In particular, we analyze GAS models that account for long-memory-type of dependencies, periodicities, asymmetric nonlinear dependence structures, fat-tailed conditional return distributions, and intraday jump processes for asset returns. We apply our framework in order to analyze the ECoVaR forecasting performance for a large data set of intraday asset returns of the S&P500 index.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Gribisch, Bastian UNSPECIFIED UNSPECIFIED UNSPECIFIED Eckernkemper, Tobias UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-565574
DOI:	10.1002/for.2744
Journal or Publication Title:	J. Forecast.
Volume:	40
Number:	5
Page Range:	S. 883 - 911
Date:	2021
Publisher:	WILEY
Place of Publication:	HOBOKEN
ISSN:	1099-131X
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language SYSTEMIC RISK; STOCHASTIC VOLATILITY; FAT TAILS; MODELS; DRIVEN; DEPENDENCE; DYNAMICS; COVAR Multiple languages Economics; Management Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/56557