How informative are variance risk premium and implied volatility for Value-at-Risk prediction? : international evidence
Skander Slim, Meriam Dahmene, Adel Boughrara
| Year of publication: |
2020
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| Authors: | Slim, Skander ; Dahmene, Meriam ; Boughrara, Adel |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 76.2020, p. 22-37
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| Subject: | Variance risk premium | Implied volatility | Value-at-Risk | Risk management | GARCH | Volatilität | Volatility | Risikomaß | Risk measure | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomanagement | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection | Japan | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2019.08.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012417081