Realized quantity extended conditional autoregressive value-at-risk models
Pit Götz
| Year of publication: |
2023
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|---|---|
| Authors: | Götz, Pit |
| Published in: |
Journal of risk : JOR. - London : Infopro Digital Risk, ISSN 1755-2842, ZDB-ID 2091446-5. - Vol. 26.2023, 2, p. 33-63
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| Subject: | value-at-risk (VaR) | expected shortfall (ES) | quantile regression | high-frequency data | realized variance (RV) | intraday jumps | Risikomaß | Risk measure | Theorie | Theory | Volatilität | Volatility | Schätzung | Estimation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis | Regressionsanalyse | Regression analysis | Aktienindex | Stock index |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/jor.2023.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014487299