Score-driven density forecasts of high-frequency extreme price movements: the role of liquidity

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Unpublished conference/Abstract (Scientific congresses and symposiums)

Hambuckers, Julien; Hübner, Philippe

2026 • Quantitative Finance and Financial Econometrics - QFFE 2026

Editorial reviewed

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https://hdl.handle.net/2268/347264

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Keywords :

extreme value theory; times-series; high-frequency data; score-driven models

Disciplines :

Finance

Author, co-author :

Hambuckers, Julien ; Université de Liège - ULiège > HEC Liège Research > HEC Liège Research: Financial Management for the Future

Hübner, Philippe ; Université de Liège - ULiège > HEC Liège Research > HEC Liège Research: Financial Management for the Future

Language :

English

Title :

Score-driven density forecasts of high-frequency extreme price movements: the role of liquidity

Publication date :

05 June 2026

Event name :

Quantitative Finance and Financial Econometrics - QFFE 2026

Event date :

05/06/2026

Audience :

International

Peer review/Selection committee :

Editorial reviewed

Available on ORBi :

since 15 July 2026

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