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

Abstract:

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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)

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

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Price:

$35.00

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