Browsing Brage NMBU by Author "Yahya, Muhammad"
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Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
Ewald, Christian Oliver; Hadina, Jelena; Haugom, Erik; Lien, Gudbrand; Størdal, Ståle; Yahya, Muhammad (Journal article; Peer reviewed, 2023)In this paper we examine how sensitive Value-at-Risk (VaR) forecasts based on simple linear quantile regressions are to the sampling frequency used to calculate realized volatility. We use sampling frequencies from one to ... -
Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
Ewald, Christian Oliver; Hadina, Jelena; Haugom, Erik; Lien, Gudbrand; Størdal, Ståle; Yahya, Muhammad (Peer reviewed; Journal article, 2023)