Paper Title:
A Comparative Study of VAR Measure Using Different Frequency Data of China’s Fuel Oil Futures Market
  Abstract

By using datas of Chinese fuel oil futures market, this pater establishes VAR model based on low frequency, high frequency and ultra-high frequency data, to measure the value at risk, and compares the prediction accuracy of different frequency. The research results show that the high frequency and ultra-high frequency data have better accuracy in the VAR measuring, as they contain more intraday information and can reflect the futures market microstructure better.

  Info
Periodical
Advanced Materials Research (Volumes 361-363)
Chapter
Chapter 12: Ecological Civilization and Low-Carbon Economy
Edited by
Qunjie Xu, Honghua Ge and Junxi Zhang
Pages
1887-1891
DOI
10.4028/www.scientific.net/AMR.361-363.1887
Citation
F. Wang, "A Comparative Study of VAR Measure Using Different Frequency Data of China’s Fuel Oil Futures Market", Advanced Materials Research, Vols. 361-363, pp. 1887-1891, 2012
Online since
October 2011
Authors
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Price
$32.00
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