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Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose exible methods that exploit recent developments in nancial econometrics and are likely to produce more accurate risk assessments, treating...
Persistent link: https://www.econbiz.de/10009371457
the key ingredient enabling inference about volatility and the presence of jumps in financial time series and is thus of …
Persistent link: https://www.econbiz.de/10009148814
-form volatility modeling and forecasting as well as testing for the presence of jumps. …
Persistent link: https://www.econbiz.de/10008577800
alleviating finite sample biases arising from the pronounced intraday volatility pattern which afflict alternative jump …
Persistent link: https://www.econbiz.de/10008472103