Asymmetric realized volatility risk
Year of publication: |
2014
|
---|---|
Authors: | Allen, David E. ; McAleer, Michael ; Scharth, Marcel |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 7.2014, 2, p. 80-109
|
Publisher: |
Basel : MDPI |
Subject: | realized volatility | volatility of volatility | volatility risk | value-at-risk | forecasting | conditional heteroskedasticity |
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