Three Essays on Using High Frequency Data in Estimating Financial Risks
| dc.contributor.author | Großmaß, Lidan | |
| dc.date.accessioned | 2013-05-02T07:23:31Z | deu |
| dc.date.available | 2013-05-02T07:23:31Z | deu |
| dc.date.issued | 2013 | deu |
| dc.description.abstract | This dissertation comprises of three stand-alone research papers, all considering the use of high frequency financial data for financial market risk measurement. The first chapter considers the extraction of liquidity information from the intraday limit order book to enhance the daily market risk measures for the dimension of liquidity risk. While liquidity risk in trading is understood to be important for practitioners, it is not well understood how it should be quantified and included in estimating market risks. The second and third chapter contribute to the ongoing research on realized measures in the multivariate context. Chapter two provides some new ideas about how to characterise the ex-post dependence, which we term as "realized dependence", between two or more assets using intraday data. Chapter three describes a new approach via partial identification to deal with the biases that currently plague the estimation of realized covariance and correlation. | eng |
| dc.description.version | published | |
| dc.identifier.ppn | 381781550 | deu |
| dc.identifier.uri | http://kops.uni-konstanz.de/handle/123456789/22917 | |
| dc.language.iso | eng | deu |
| dc.legacy.dateIssued | 2013-05-02 | deu |
| dc.rights | terms-of-use | deu |
| dc.rights.uri | https://rightsstatements.org/page/InC/1.0/ | deu |
| dc.subject | finanzielles Risiko | deu |
| dc.subject | finanzielle Korrelationen | deu |
| dc.subject | High Frequency Data | deu |
| dc.subject | Market Liquidity | deu |
| dc.subject | Time-Varying Dependence | deu |
| dc.subject | Value-at-Risk | deu |
| dc.subject.ddc | 330 | deu |
| dc.subject.gnd | Marktrisiko | deu |
| dc.subject.gnd | Kreditmarkt | deu |
| dc.subject.jel | C14, C18, C58, G17 | deu |
| dc.title | Three Essays on Using High Frequency Data in Estimating Financial Risks | eng |
| dc.title.alternative | Drei Aufsätze zur Schätzung finanzieller Risiken durch Hochfrequenzdaten | deu |
| dc.type | DOCTORAL_THESIS | deu |
| dspace.entity.type | Publication | |
| kops.citation.bibtex | @phdthesis{Groma2013Three-22917,
year={2013},
title={Three Essays on Using High Frequency Data in Estimating Financial Risks},
author={Großmaß, Lidan},
address={Konstanz},
school={Universität Konstanz}
} | |
| kops.citation.iso690 | GROSSMASS, Lidan, 2013. Three Essays on Using High Frequency Data in Estimating Financial Risks [Dissertation]. Konstanz: University of Konstanz | deu |
| kops.citation.iso690 | GROSSMASS, Lidan, 2013. Three Essays on Using High Frequency Data in Estimating Financial Risks [Dissertation]. Konstanz: University of Konstanz | eng |
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| kops.date.examination | 2013-04-10 | deu |
| kops.description.abstract | Diese Dissertation enthält drei eigenständige Forschungsarbeiten, die sich mit unterschiedlichen Aspekten der Schätzung von Finanzmarktrisiken durch Hochfrequenzdaten beschäftigen. Das er ste Kapitel beschreibt, wie die Schätzung des täglichen Marktrisikos durch das Einbeziehen des Liquiditätsrisikos verbessert werden kann. Die Schätzung erfolgt dabei auf Basis der Daten des Limit-Order-Buches. Durch diese Arbeit wird das in der Praxis bedeutende Liquiditätsrisiko in die Forschung übersetzt, und das Verständnis wird gesteigert, wie Liquiditätsrisiko gemessen und mit in die Schätzung des Marktrisikos einbezogen werden sollte. Das zweite und dritte Kapitel tragen zur Forschung zu "realized measures" im multivariaten Kontext bei. Der Forschungsbeitrag der Kapitel 2 besteht in einer neuen Charakterisierung der ex-post Abhängigkeit zwischen zwei oder mehr Assets. Das hier neu entwickelte Abhängigkeitsmaßbezeichnen wir als "realized dependence". In Kapital 3 beschreiben wir eine neue Methode, wie die - insbesondere für multivariate "realized measures" relevante - Problematik der Verzerrungskorrektur gemildert werden kann. | deu |
| kops.description.funding | {"first": "eu", "second": "237984"} | |
| kops.description.openAccess | openaccessgreen | |
| kops.identifier.nbn | urn:nbn:de:bsz:352-229175 | deu |
| kops.relation.euProjectID | 237984 | deu |
| kops.submitter.email | lidan.li@uni-konstanz.de | deu |
| relation.isAuthorOfPublication | fdbbd784-f907-4265-a1ab-602fe0cc1e4c | |
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