Can volatility models explain extreme events?
Luca Trapin
| Year of publication: |
2018
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|---|---|
| Authors: | Trapin, Luca |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 16.2018, 2, p. 297-315
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| Subject: | extremal dependence | realized volatility | return predictability | tail risk | volatility models | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Ausreißer | Outliers | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbx031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011987768