Computing value at risk with high frequency data

C-Tier

Journal: Journal of Empirical Finance

Year: 1999

Volume: 6

Issue: 5

Pages: 431-455

Authors (2)

Beltratti, Andrea Morana, Claudio (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count