oaioai:figshare.com:article/1560588

VaR prediction.

Abstract

<p>Intraday VaR predictions obtained analyzing illiquid and liquid data with the Fourier and the TS estimators (sampling rate: one observation per minute).</p

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oaioai:figshare.com:article/1560588Last time updated on 2/12/2018

This paper was published in FigShare.

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