Can intraday data improve the joint estimation and prediction of risk measures? : evidence from a variety of realized measures
Zhimin Wu, Guanghui Cai
| Year of publication: |
2024
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| Authors: | Wu, Zhimin ; Cai, Guanghui |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 6, p. 1956-1974
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| Subject: | high-frequency data | value at risk | expected shortfall | realized measures | dynamic semiparametric model | Risikomaß | Risk measure | Messung | Measurement | Volatilität | Volatility | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Börsenkurs | Share price |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3111 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015110344