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A latent dynamic factor approach to forecasting multivariate stock market volatility

Gribisch, Bastian - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 621-651

Persistent link: https://www.econbiz.de/10011949857

Value at Risk : Quantifizierung mit Hilfe von Hochfrequenzdaten

Kroedel, Matthias; Lister, Michael; Neukomm, Mark; … - 2003

Persistent link: https://www.econbiz.de/10001851143

Value at Risk-Quantifizierung unter Verwendung von Hochfrequenzdaten : empirische Analyse am Beispiel des Aktienkursrisikos

Neukomm, Mark - 2004 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001932309

The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts

Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293

Persistent link: https://www.econbiz.de/10009489609

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098