Value at risk forecasting for volatility index
Seul-Ki Park, Ji-Eun Choi and Dong Wan Shin
| Year of publication: |
December 2017
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|---|---|
| Authors: | Park, Seul-Ki ; Choi, Ji-Eun ; Shin, Dong-wan |
| Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 24.2017, 21, p. 1613-1620
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| Subject: | Conditional heteroscedasticity | HAR model | long-memory | skew-t distribution | VaR | volatility index | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Aktienindex | Stock index | Index | Index number | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity | VAR-Modell | VAR model | Index-Futures | Index futures | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2017.1366631 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011853568