Realized volatility models and alternative Value-at-Risk prediction strategies
Dimitrios P. Louzis; Spyros Xanthopoulos-Sisinis; Apostolos P. Refenes
| Year of publication: |
2014
|
|---|---|
| Authors: | Louzis, Dimitrios P. ; Xanthopoulos-Sisinis, Spyros ; Refenes, Apostolos-Paul |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 40.2014, p. 101-116
|
| Subject: | High frequency intra-day data | Filtered historical simulation | Extreme value theory | Value-at-Risk forecasting | Financial crisis | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Volatilität | Volatility | ARCH-Modell | ARCH model | Finanzkrise | Simulation | Theorie | Theory | Ausreißer | Outliers | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis |