Showing 1 - 10 of 15
Persistent link: https://www.econbiz.de/10011554962
Persistent link: https://www.econbiz.de/10012816709
Persistent link: https://www.econbiz.de/10012322189
Persistent link: https://www.econbiz.de/10012322235
Persistent link: https://www.econbiz.de/10011632160
Persistent link: https://www.econbiz.de/10012387222
Persistent link: https://www.econbiz.de/10012244841
In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...
Persistent link: https://www.econbiz.de/10012292347
Persistent link: https://www.econbiz.de/10011629465
Persistent link: https://www.econbiz.de/10011629466