Forecasting risk measures using intraday and overnight information
Douglas G. Santos, Osvaldo Candido, Paula V. Tófoli
| Year of publication: |
2022
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|---|---|
| Authors: | Santos, Douglas Gomes dos ; Candido, Osvaldo ; Tófoli, Paula V. |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 60.2022, p. 1-25
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| Subject: | Expected Shortfall | Overnight volatility | Realized volatility | Value-at-Risk | Volatility forecasting | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101669 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013449240