The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Year of publication: |
2020
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Authors: | Fałdziński, Marcin ; Osińska, Magdalena |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 14.2020, 3, p. 1-27
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Subject: | volatility estimators | regulator loss function | firm loss function | extreme value theory (EVT) | risk transfer | Volatilität | Volatility | Schätztheorie | Estimation theory | Kausalanalyse | Causality analysis | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Statistischer Test | Statistical test | Risiko | Risk |
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