How informative are variance risk premium and implied volatility for Value-at-Risk prediction? : international evidence
Year of publication: |
2020
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Authors: | Slim, Skander ; Dahmene, Meriam ; Boughrara, Adel |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 76.2020, p. 22-37
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Subject: | Variance risk premium | Implied volatility | Value-at-Risk | Risk management | GARCH | Volatilität | Volatility | Risikoprämie | Risk premium | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomanagement | Börsenkurs | Share price | Japan | Schätzung | Estimation |
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