Volatility measures and Value-at-Risk
Dennis Bams, Gildas Blanchard, Thorsten Lehnert
| Year of publication: |
October-December 2017
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|---|---|
| Authors: | Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 33.2017, 4, p. 848-863
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| Subject: | Value-at-Risk | Option implied volatility | Volatility risk premium | Time-series | GARCH models | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Risikoprämie | Risk premium | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2017.04.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011746918