Showing 61 - 70 of 154,614
This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight...
Persistent link: https://www.econbiz.de/10011543115
Persistent link: https://www.econbiz.de/10011553073
Persistent link: https://www.econbiz.de/10011455309
Persistent link: https://www.econbiz.de/10011504612
Persistent link: https://www.econbiz.de/10011556775
financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …
Persistent link: https://www.econbiz.de/10010407214
Persistent link: https://www.econbiz.de/10010499715
Persistent link: https://www.econbiz.de/10010506499
Persistent link: https://www.econbiz.de/10010490993
Persistent link: https://www.econbiz.de/10010436245