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

Business & Economics

• Asymmetric Information 8%
• Autoregressive Moving Average 11%
• Backtesting 11%
• EGARCH Model 12%
• Factors 3%
• High-frequency Data 10%
• Information Model 10%
• Informational Content 12%
• Interaction 5%
• Intraday Data 12%
• Marked Point Process 14%
• Market Microstructure 11%
• Market Risk 9%
• Methodology 9%
• Monte Carlo Simulation 14%
• Prediction 7%
• Risk Analysis 15%
• Risk Measurement 10%
• Risk Measures 18%
• Sampling 9%
• Stock Exchange 37%
• Ticks 58%
• Time Horizon 9%
• Total Risk 11%
• Traders 16%
• Transaction Data 10%
• Value at Risk 100%