Narrow search
Showing 1 - 10 of 84
Cover Image
Modelling daily value-at-risk using realized volatility and arch type models
Giot, Pierre; Laurent, Sebastien - Maastricht : METEOR, Maastricht Research School of … - 2001
In this paper we show how to compute a daily VaR measure for two stock indexes (CAC40 and SP500) using the one-day-ahead forecast of the daily realized volatility. The daily re-alized volatility is equal to the sum of the squared intraday returns over a given day and thus uses intraday...
Persistent link: https://www.econbiz.de/10005305000
Cover Image
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates
Beine, Michel; Laurent, Sebastien - Econometric Society - 2000
No abstract.
Persistent link: https://www.econbiz.de/10005129756
Cover Image
Intraday value-at-risk
Giot, Pierre - 2000
Persistent link: https://www.econbiz.de/10001529425
Cover Image
Time transformations, intraday data and volatility models
Giot, Pierre - 1999
Persistent link: https://www.econbiz.de/10001430828
Cover Image
Time transformations, intraday data, and volatility models
Giot, Pierre - In: The journal of computational finance 4 (2000/2001) 2, pp. 31-62
Persistent link: https://www.econbiz.de/10001553932
Cover Image
The information content of implied volatility in agricultural commodity markets
Giot, Pierre - In: The journal of futures markets 23 (2002) 5, pp. 441-454
Persistent link: https://www.econbiz.de/10001769698
Cover Image
The information content of implied volatility in agricultural commodity markets
Giot, Pierre - 2002
Persistent link: https://www.econbiz.de/10001696228
Cover Image
Implied volatility indices as leading indicators of stock index returns?
Giot, Pierre - 2002
Persistent link: https://www.econbiz.de/10001713160
Cover Image
The information content of implied volatility indexes for forecasting volatility and market risk
Giot, Pierre - 2003
Persistent link: https://www.econbiz.de/10001791288
Cover Image
The Asian financial crisis : the start of a regime switch in volatility
Giot, Pierre - 2003
Persistent link: https://www.econbiz.de/10001876281