Asymmetric Realized Volatility Risk
Year of publication: |
2014
|
---|---|
Authors: | Allen, David E. ; McAleer, Michael ; Scharth, and Marcel |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Realized volatility | volatility of volatility | volatility risk | value-at-risk | forecasting | conditional heteroskedasticity |
Series: | Tinbergen Institute Discussion Paper ; 14-075/III |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 788981676 [GVK] hdl:10419/107789 [Handle] RePEc:dgr:uvatin:20140075 [RePEc] |
Classification: | c58 ; G12 - Asset Pricing |
Source: |
-
Asymmetric realized volatility risk
Allen, David E., (2014)
-
Asymmetric realized volatility risk
Allen, David E., (2014)
-
Asymmetric realized volatility risk
Allen, David E., (2014)
- More ...
-
Multivariate Volatility Impulse Response Analysis of GFC News Events
Allen, David E., (2015)
-
Daily Market News Sentiment and Stock Prices
Allen, David E., (2015)
-
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC
Allen, David E., (2015)
- More ...