Intraday seasonality and intraday value-at-risk

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10049953" target="_blank" >RIV/00216208:11230/10:10049953 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Intraday seasonality and intraday value-at-risk
Original language description
The paper analyzes the intraday behavior of Czech stock returns using a high-frequency data for three of the most liquid stocks traded on the Prague Stock Exchange. The author employs a quantile regression framework with a seasonality component in orderto investigate the effects of intraday seasonality on the variation in the 30-minute sampled intraday returns over the course of the trading day and at different quantiles of the (conditional) returns distribution.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F08%2F0004" target="_blank" >GA402/08/0004: Model of Credit Risk Management in the Czech Republic and its Applicability in the EU Banking Sector</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Book/collection name
Advanced measurement techniques for market and operational risk
ISBN
978-80-246-1871-5
Number of pages of the result
21
Pages from-to
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Number of pages of the book
262
Publisher name
Karolinum
Place of publication
Prague
UT code for WoS chapter
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