The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Yannick Hoga
| Year of publication: |
2021
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|---|---|
| Authors: | Hoga, Yannick |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 2, p. 675-686
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| Subject: | Extreme value theory | Forecast intervals | High-frequency volatility measures | Risk forecasts | Volatility indices | Theorie | Theory | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Risiko | Risk | Risikomaß | Risk measure | Ausreißer | Outliers | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2020.08.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012792861