The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Marcin Fałdzi´nski and Magdalena Osi´nska
| Year of publication: |
2020
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|---|---|
| Authors: | Fałdziński, Marcin ; Osińska, Magdalena |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 14.2020, 3, p. 1-27
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| Subject: | volatility estimators | regulator loss function | firm loss function | extreme value theory (EVT) | risk transfer | Volatilität | Volatility | Kausalanalyse | Causality analysis | Risikomanagement | Risk management | Schätztheorie | Estimation theory | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Internationaler Finanzmarkt | International financial market | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2020.224 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014335988