Overnight Risk Model: A Unique Capability

Abigail Hsu, Ryan Kaufman, Hyunkyung Lim and James Glimm

Applied Economics and Finance, 2020, vol. 7, issue 6, 44-48

Abstract: We present a novel risk measurement model capable of capturing overnight risk i.e. the risk encountered between the closing time of the previous day and the opening time of the next day. The risk model captures both the overnight risk and also the intraday risk. Statistical models of intraday asset returns must separate the market opening period from the remainder of the day as these follow statistical laws with different properties. Here we present results showing our two models for these two distinct periods.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://redfame.com/journal/index.php/aef/article/download/4981/5218 (application/pdf)
http://redfame.com/journal/index.php/aef/article/view/4981 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rfa:aefjnl:v:7:y:2020:i:6:p:44-48

Access Statistics for this article

More articles in Applied Economics and Finance from Redfame publishing Contact information at EDIRC.
Bibliographic data for series maintained by Redfame publishing ().