Search Results - subject:"Volatility scaling"

Multiple-period market risk prediction under long memory: when VaR is higher than expected

Kinateder, Harald; Wagner, Niklas - In: Journal of Risk Finance 15 (2014) January, pp. 4-32

Purpose – The paper aims to model multiple-period market risk forecasts under long memory persistence in market volatility. Design/methodology/approach – The paper proposes volatility forecasts based on a combination of the GARCH(1,1)-model with potentially fat-tailed and skewed innovations...

Persistent link: https://www.econbiz.de/10010732415

Multiple-period market risk prediction under long memory : when VaR is higher than expected

Kinateder, Harald; Wagner, Niklas F. - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 4-32

Persistent link: https://www.econbiz.de/10010252220

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