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  • Search: subject:"volatility scaling"
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Year of publication
Subject
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Forecasting model 2 Portfolio selection 2 Portfolio-Management 2 Prognoseverfahren 2 Value-at-Risk 2 Volatility 2 Volatilität 2 conditional volatility 2 filtered historical simulation 2 risk model backtesting 2 volatility scaling 2 ARCH model 1 ARCH-Modell 1 Anlageverhalten 1 Asset pricing 1 Behavioural finance 1 Börsenkurs 1 Capital market returns 1 Factor momentum 1 Investor sentiment 1 Kapitalmarktrendite 1 Option-implied volatility scaling 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Share price 1 Simulation 1 VIX 1 Welt 1 World 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
All
Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
All
Gurrola-Perez, Pedro 2 Murphy, David 2 Grobys, Klaus 1 Kolari, James W. 1 Rutanen, Jere 1
Institution
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Bank of England 1
Published in...
All
Bank of England working papers 1 The journal of asset management : a major new, international quarterly journal for the financial community 1 Working papers / Bank of England 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
Cover Image
Factor momentum, option-implied volatility scaling, and investor sentiment
Grobys, Klaus; Kolari, James W.; Rutanen, Jere - In: The journal of asset management : a major new, … 23 (2022) 2, pp. 138-155
Persistent link: https://www.econbiz.de/10013171033
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Cover Image
Filtered historical simulation Value-at-Risk models and their competitors
Gurrola-Perez, Pedro; Murphy, David - Bank of England - 2015
Financial institutions have for many years sought measures which cogently summarise the diverse market risks in portfolios of financial instruments. This quest led institutions to develop Value-at-Risk (VaR) models for their trading portfolios in the 1990s. Subsequently, so-called filtered...
Persistent link: https://www.econbiz.de/10011195642
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Cover Image
Filtered historical simulation Value-at-Risk models and their competitors
Gurrola-Perez, Pedro; Murphy, David - 2015
Persistent link: https://www.econbiz.de/10010497517
Saved in:
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