The Role of High Frequency Intra-Daily Data, Daily Range and Implied Volatility in Multi-Period Value-at-Risk Forecasting
Year of publication: |
2012
|
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Authors: | Louzis, Dimitrios P. |
Other Persons: | Xanthopoulos-Sisinis, Spyros (contributor) ; Refenes, Apostolos N. (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation |
Extent: | 1 Online-Ressource (39 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 9, 2011 erstellt |
Other identifiers: | 10.2139/ssrn.1970341 [DOI] |
Classification: | C13 - Estimation ; C53 - Forecasting and Other Model Applications ; c58 ; G17 - Financial Forecasting ; G21 - Banks; Other Depository Institutions; Mortgages ; G32 - Financing Policy; Capital and Ownership Structure |
Source: | ECONIS - Online Catalogue of the ZBW |
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