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Persistent link: https://www.econbiz.de/10014375232

Bespoke Realized Volatility : Tailored Measures of Risk for Volatility Prediction

Patton, Andrew J.; Zhang, Haozhe - 2023

Standard realized volatility (RV) measures estimate the latent volatility of an asset price using high frequency data with no reference to how or where the estimate will subsequently be used. This paper presents methods for “tailoring” the estimate of volatility to the application in which...

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Quantitative statistical robustness for tail-dependent law invariant risk measures

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Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

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EDGAR on the internet : the welfare effects of wider information distribution in an experimental market for risky assets

Bodoff, David; Levecq, Hugo; Zhang, Hongtao - In: Experimental economics : a journal of the Economic … 9 (2006) 4, pp. 361-381

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Two schools of risk analysis : a review of past research on project risk

Zhang, Hongliang - In: Project management journal : PMJ 42 (2011) 4, pp. 5-18

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CEO risk incentives and firm performance following R&D increases

Shen, Hsin-han; Zhang, Hao - In: Journal of banking & finance 37 (2013) 4, pp. 1176-1194

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Stochastic modeling and fair valuation of drawdown insurance

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Understanding trust and perceived risk in sharing accommodation : an extended elaboration likelihood model and moderated by risk attitude

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Uncertainty and liquidity in corporate bond market

Guo, Liang; Lien, Da-hsiang Donald; Hao, Maggie; Zhang, … - In: Applied economics 49 (2017) 47, pp. 4760-4781

Persistent link: https://www.econbiz.de/10011844790