Journal article · 2018

Is intraday data useful for forecasting VaR? The evidence from EUR/PLN exchange rate

Będowska-Sójka, B.

Risk Management, 20(4), 326–346

DOI: 10.1057/s41283-018-0038-z

Full text: see the publisher version via DOI.

Research topics: Volatility, high-frequency data and macroeconomic news

Cite

@article{rm2018_var,
  title = {Is intraday data useful for forecasting VaR? The evidence from EUR/PLN exchange rate},
  author = {Będowska-Sójka, B.},
  year = {2018},
  journal = {Risk Management},
  note = {20(4), 326–346},
  doi = {10.1057/s41283-018-0038-z}
}