How Informative Is High-Frequency Data for Tail Risk Estimation and Forecasting?

November 29, 2018

Timo Dimitriadis and Roxana Halbleib-Chiriac propose a novel and simple approach to computing daily value-at-risk (VaR) and expected shortfall (ES) directly from high-frequency data.

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How Informative Is High-Frequency Data for Tail Risk Estimation and Forecasting?