The role of high-frequency intra-daily data, daily range and implied volatility in multi-period value-at-risk forecasting
Year of publication: |
2013
|
---|---|
Authors: | Louzis, Dimitrios P. ; Xanthopoulos-Sisinis, Spyros ; Refenes, Apostolos-Paul |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 32.2013, 6, p. 561-576
|
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Schätzung | Estimation |
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