Volatility measures as predictors of extreme returns
Lorne N. Switzer, Cagdas Tahaoglu, Yun Zhao
| Year of publication: |
November 2017
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| Authors: | Switzer, Lorne N. ; Tahaoglu, Cagdas ; Zhao, Yun Selina |
| Published in: |
Review of financial economics : RFE. - Medford, MA : Wiley, ISSN 1058-3300, ZDB-ID 1116477-3. - Vol. 35.2017, p. 1-10
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| Subject: | Extreme returns | Implied volatility | Conditional volatility | Idiosyncratic volatility | Expected shortfall | Volatilität | Volatility | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Börsenkurs | Share price | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.rfe.2017.04.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011959385