A quick tool to forecast value-at-risk using implied and realized volatilities
Year of publication: |
December 2016
|
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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 |
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