Macro-driven VaR forecasts : from very high to very low-frequency data
Yves Dominicy (SBS-EM, ECARES, Université libre de Bruxelles), Harry Vander Elst (SBS-EM, ECARES, Université libre de Bruxelles)
| Year of publication: |
November 2015
|
|---|---|
| Authors: | Dominicy, Yves ; Vander Elst, Harry |
| Publisher: |
Brussels, Belgium : ECARES |
| Subject: | Realized LGARCH | Value-at-Risk | density forecasts | realized measures of volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Prognose | Forecast |