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The Importance of Overnight Information in Risk Management Models
Year Of Publication: 2005
Month Of Publication: April
Pages: 34
Download Count: 2
View Count: 1381
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 2-1-2014
Publisher: Administrator
This paper examines the economic value of overnight information to users of risk management models. In addition to the information revealed by overseas markets that trade during the (domestic) overnight period, this paper exploits information generated via recent innovations in the structure of financial markets. In particular, certain securities (and associated derivative products) can now be traded at any time over a 24-h period. The results show that overnight information flow has a significant impact on the conditional volatility of daytime traded S&P 500 securities. Value-at-Risk (VaR) models based on these conditional volatility models are shown to be more accurate than VaR models that ignore overnight information.This document is published in Journal of Banking and Finance (volume 31, number 1) January 2007, 161-180.
Taylor, Nick Sign in to follow this author
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