The role of high-frequency intra-daily data, daily range and implied volatility in multi-period value-at-risk forecasting
Dimitrios P. Louzis, Spyros Xanthopoulos-Sisinis and Apostolos P. Refenes
| Year of publication: |
2013
|
|---|---|
| Authors: | Louzis, Dimitrios P. ; Xanthopoulos-Sisinis, Spyros ; Refenes, Apostolos-Paul |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 32.2013, 6, p. 561-576
|
| Subject: | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Wechselkurs | Exchange rate |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009789559