Volatility forecast by volatility index and its use as a risk management tool under a value-at-risk approach
Yam Wing Siu
| Year of publication: |
June 2018
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|---|---|
| Authors: | Siu, Yam Wing |
| Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 21.2018, 2, p. 1-48
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| Subject: | Implied volatility | value at risk | volatility index | volatility forecasts | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Theorie | Theory | Index | Index number | Aktienindex | Stock index | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219091518500108 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011865598