Investor clientele and intraday patterns in the cross section of stock returns
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DOI: 10.1007/s11156-024-01319-8
Abstract: This paper examines the existence of a well documented (Heston et al. in J Finance 65:1369–1407) (hereafter HKS 2010) intraday momentum pattern in the cross section of stock returns for three previously un-examined markets outside… read more here.
Keywords: cross section; finance; section stock; intraday ... See more keywords
Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH
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DOI: 10.3390/risks7010010
Abstract: In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based on the 1-min EUR/USD… read more here.
Keywords: garch; validation; intraday; risk ... See more keywords