Forecasting risk measures using intraday and overnight information
Year of publication: |
2022
|
---|---|
Authors: | Santos, Douglas Gomes dos ; Candido, Osvaldo ; Tófoli, Paula V. |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 60.2022, p. 1-25
|
Subject: | Expected Shortfall | Overnight volatility | Realized volatility | Value-at-Risk | Volatility forecasting | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Nichtparametrisches Verfahren | Nonparametric statistics |
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