A comparative VaR analysis between low-frequency and high-frequency conditional EVT models during COVID-19 crisis

The aim of this paper is to assess whether the availability of high-frequency data enhances the accuracy of extreme market risk estimation in comparison to low-frequency data by using Value-at-risk (VaR) and Expected shortfall (ES). The sample data used for analysis comprised the daily closing stock...

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Veröffentlicht in:	Cogent economics & finance 2024-12, Vol.12 (1)
Hauptverfasser:	Azliana Aridi, Nor, Siow Hooi, Tan, Wen Cheong, Chin
Format:	Artikel
Sprache:	eng
Schlagworte:	Business, Management and Accounting Conditional EVT Economics expected shortfall Finance high-frequency data value-at-risk Xibin Zhang, Econometrics and Business Statistics, Monash University, Australia
Online-Zugang:	Volltext
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