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  • Search: subject:"High frequency intra-day data"
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Subject
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Extreme value theory 2 Filtered historical simulation 2 Financial crisis 2 High frequency intra-day data 2 Value-at-Risk forecasting 2 ARCH model 1 ARCH-Modell 1 Ausreißer 1 Financial market 1 Finanzkrise 1 Finanzmarkt 1 Forecasting model 1 Outliers 1 Prognoseverfahren 1 Risikomaß 1 Risk measure 1 Simulation 1 Theorie 1 Theory 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
Author
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Louzis, Dimitrios P. 2 Xanthopoulos-Sisinis, Spyros 2 Refenes, Apostolos P. 1 Refenes, Apostolos-Paul 1
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Economic Modelling 1 Economic modelling 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic Modelling 40 (2014) C, pp. 101-116
We assess the Value-at-Risk (VaR) forecasting performance of recently proposed realized volatility (RV) models combined with alternative parametric and semi-parametric quantile estimation methods. A benchmark inter-daily GJR-GARCH model is also employed. Based on four asset classes, i.e. equity,...
Persistent link: https://www.econbiz.de/10010781993
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Cover Image
Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010425716
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