//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"CORE Discussion Papers"
~subject:"futures"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"value at risk"
Narrow search
Delete all filters
| 2 applied filters
Year of publication
From:
To:
Subject
All
futures
Value-at-Risk
11
GARCH
4
APARCH
2
Value at Risk
2
asymmetric dependence
2
risk management
2
value-at-risk
2
ARCH
1
BEKK model
1
Bayesian inference
1
Copulas
1
Dow Jones industrial average
1
Duration models
1
EWMA
1
GARCH models
1
Intraday Value-at-Risk
1
Intraday volatility
1
Kopula <Mathematik>
1
MIDAS
1
ML estimation
1
Markov chain Monte Carlo
1
Model Confidence Set
1
NYSE
1
Realized covariance
1
Risikomanagement
1
agricultural commodity markets
1
asymmetries
1
asymmetry
1
canonical vine copula
1
commodities
1
commodity markets
1
component dynamic models
1
conditional heteroskedasticity
1
contemporaneous and temporal aggregation
1
expected short-fall
1
expected shortfall
1
exponential power distributions
1
finite mixtures
1
foreign ex- change markets
1
more ...
less ...
Online availability
All
Free
1
Type of publication
All
Book / Working Paper
1
Language
All
Undetermined
1
Author
All
GIOT, Pierre
1
Institution
All
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
1
Published in...
All
CORE Discussion Papers
Applied economics
1
Working Papers / Morrison School of Agribusiness & Resource Management, Arizona State University East
1
Source
All
RePEc
1
Showing
1
-
1
of
1
Sort
Relevance
Date (newest first)
Date (oldest first)
1
The information content of implied volatility in agricultural commodity markets
GIOT, Pierre
-
Center for Operations Research and Econometrics (CORE), …
-
2002
. Secondly,
Value-at-Risk
(VaR) models that rely exclusively on lagged implied volatility perform as well as VaR models where the …
Persistent link: https://www.econbiz.de/10005043100
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->