Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data
Stavros Degiannakis, Artemis Potamia
| Year of publication: |
January 2017
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|---|---|
| Authors: | Degiannakis, Stavros ; Potamia, Artemis |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 49.2017, p. 176-190
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| Subject: | Basel II | Basel III | Value-at-risk | Expected shortfall | Volatility forecasting | Intra-day data | Multi-period-ahead | Forecasting accuracy | Risk modeling | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Wechselkurs | Exchange rate | Basler Akkord | Basel Accord | ARCH-Modell | ARCH model | Aktienindex | Stock index | Bankrisiko | Bank risk | Theorie | Theory | Schätzung | Estimation | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2016.10.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011741290