A quick tool to forecast value-at-risk using implied and realized volatilities
Francesco Cesarone and Stefano Colucci
| Year of publication: |
December 2016
|
|---|---|
| Authors: | Cesarone, Francesco ; Colucci, Stefano |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 10.2016, 4, p. 71-101
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| Subject: | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Kapitalmarktrendite | Capital market returns | Volatilität | Volatility | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2016.163 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011587719