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Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - 2001

Persistent link: https://www.econbiz.de/10001596369

Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - 2001

Persistent link: https://www.econbiz.de/10001590396

Modelling daily value-at-risk using realized volatility and Arch type models

Giot, Pierre; Laurent, Sébastien - 2001

Persistent link: https://www.econbiz.de/10001638521

Market risk in commodity markets : a VaR approach

Giot, Pierre; Laurent, Sébastien - In: Energy economics 25 (2003) 5, pp. 435-457

Persistent link: https://www.econbiz.de/10001790694

Market risk in commodity markets : a VaR approach

Giot, Pierre; Laurent, Sébastien - 2003

Persistent link: https://www.econbiz.de/10001791292

Value-at-risk for long and short trading positions

Giot, Pierre; Laurent, Sébastien - In: Journal of applied econometrics 18 (2003) 6, pp. 641-664

Persistent link: https://www.econbiz.de/10001843499

Modelling daily value-at-risk using realized volatility and ARCH type models

Giot, Pierre; Laurent, Sébastien - In: Journal of empirical finance 11 (2004) 3, pp. 379-398

Persistent link: https://www.econbiz.de/10002050367

The information content of implied volatility in light of the jump/continuous decomposition of realized volatility

Giot, Pierre; Laurent, Sébastien - In: The journal of futures markets 27 (2007) 4, pp. 337-359

Persistent link: https://www.econbiz.de/10003493068

Trading activity, realized volatility and jumps

Giot, Pierre; Laurent, Sébastien; Petitjean, Mikael - In: Journal of empirical finance 17 (2010) 1, pp. 168-175

Persistent link: https://www.econbiz.de/10003943976

Modelling Daily Value-at-Risk Using Realized Volatility and Arch Type Models

Giot, Pierre - 2003

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 realized 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/10012740199