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Issue Date
Title
Author(s)
2018
Quantile forecasts using the Realized GARCH-EVT approach
Paul, Samit
;
Sharma, Prateek
2020
Idiosyncrasies of Intraday Risk in Emerging and Developed Markets: Efficacy of the MCS-GARCH Model and Extreme Value Theory
Banerjee, Aditya
;
Paul, Samit
2018
Relative efficiency of Component GARCH-EVT approach in managing intraday market risk
Paul, Samit
;
Karmakar, Madhusudan
Discover
Author
3
Paul, Samit
1
Banerjee, Aditya
1
Karmakar, Madhusudan
1
Sharma, Prateek
Subject
2
Extreme value theory
2
Intraday
1
Component GARCH
1
Deseasonalized
1
EVT
1
MCS-GARCH
1
Realized GARCH
1
Realized kernel
1
Skewed student-t
1
Value at risk
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Date issued
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2018
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2020