Forecasting intraday volatility and value-at-risk with high-frequency data
Year of publication: |
2013
|
---|---|
Authors: | So, Mike Ka-pui ; Xu, Rui |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 20.2013, 1, p. 83-111
|
Subject: | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Theorie | Theory | ARCH-Modell | ARCH model |
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