Realized Volatility Risk
Year of publication: |
2013
|
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Authors: | Allen, David E. ; McAleer, Michael ; Scharth, Marcel |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Kapitaleinkommen | Volatilität | Risikomaß | Prognoseverfahren | Schätzung | Welt | Realized volatility | volatility of volatility | volatility risk | value-at-risk | forecasting |
Series: | Tinbergen Institute Discussion Paper ; 13-092/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 766329623 [GVK] hdl:10419/87368 [Handle] RePEc:dgr:uvatin:20130092 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; c58 ; G15 - International Financial Markets |
Source: |
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Asymmetric realized volatility risk
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