Quantile Forecasts of Financial Returns Using Realized GARCH Models
Year of publication: |
2011-07
|
---|---|
Authors: | Watanabe, Toshiaki |
Institutions: | Institute of Economic Research, Hitotsubashi University |
Subject: | Expected shortfall | GARCH | Realized volatility | Skewed student's t-distribution | Value-at-Risk |
-
Serrano Bautista, Ramona, (2021)
-
Murphy diagrams: forecast evaluation of expected shortfall
Ziegel, Johanna F., (2017)
-
Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik, (2015)
- More ...
-
Option Pricing Using Realized Volatility and ARCH Type Models
Watanabe, Toshiaki, (2009)
-
Nakajima, Jouchi, (2011)
-
Nagakura, Daisuke, (2011)
- More ...