Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange

C-Tier

Journal: Journal of Empirical Finance

Year: 2009

Volume: 16

Issue: 5

Pages: 777-792

Authors (3)

Dionne, Georges (HEC Montréal (École des Hautes...) Duchesne, Pierre (Université de Montréal, Départ...) Pacurar, Maria (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

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