Market risk modeling with option-implied covariances and score-driven dynamics
Rodrigo Herrera, Marco Piña
| Year of publication: |
2024
|
|---|---|
| Authors: | Herrera, Rodrigo ; Piña, Marco |
| Subject: | Forecasting | Multivariate volatility model | Option-implied volatility | Value-at-risk | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Marktrisiko | Market risk | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Deutschland | Germany | Risiko | Risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102136 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014534822