Xiaohan Xue

University of Reading - ICMA Centre

Whiteknights

Reading, Berkshire RG6 6AH

United Kingdom

  • University of Reading - ICMA Centre

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    • Tel: 7440389543
    • Fax: RG2 7EU
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“  I'm currently working on risk measure estimation, model risk, and empirical asset pricing.  ”

  • University of Reading - ICMA Centre

    • Email
    • Tel: 7440389543
    • Fax: RG2 7EU

Scholarly Papers (1)

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Forecasting Risk Measures Using Intraday Data in a Generalized Autoregressive Score (GAS) Framework

Number of pages: 33 Posted: 13 Jun 2019
Emese Lazar and Xiaohan Xue
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 22 (503,642)

Abstract:

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Value-at-Risk, Expected Shortfall, Generalized Autoregressive Score (GAS) Dynamics, Realized Variance, Intraday Data, Risk Forecasting