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Unpublished conference/Abstract (Scientific congresses and symposiums)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 • Vienna-Copenhagen Conference on Financial Econometrics

Peer reviewed

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https://hdl.handle.net/2268/348384

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Disciplines :

Quantitative methods in economics & management

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 : UER > UER Finance, Comptabilité et Droit : Finance de Marché

Language :

English

Title :

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

Publication date :

15 August 2026

Event name :

Vienna-Copenhagen Conference on Financial Econometrics

Event place :

Vienne, Austria

Event date :

13-15 August 2026

Audience :

International

Peer review/Selection committee :

Peer reviewed

Available on ORBi :

since 31 August 2026

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