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Yeh, Jin-huei; Wang, Jying-Nan - In: Econometric reviews 38 (2019) 2, pp. 170-192

Persistent link: https://www.econbiz.de/10012180719

Estimating Low Sampling Frequency Risk Measure by High-Frequency Data

Wesselhöfft, Niels - 2020

Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For the respective data frequencies, the authors show in a simulation and back-test study that available data series are not sufficient in order to estimate Value at Risk and...

Persistent link: https://www.econbiz.de/10012827639

Small sample properties of GARCH estimates and persistence

Hwang, Soosung; Pereira, Pedro L. Valls - In: The European journal of finance 12 (2006) 6/7, pp. 473-494

Persistent link: https://www.econbiz.de/10003382813

On the use of high frequency measures of volatility in MIDAS regressions

Andreou, Elena - 2016

Persistent link: https://www.econbiz.de/10011548192

A fundamental misunderstanding of risk : the bias associated with the annualized calculation of standard deviation

Burkett, Matthew W.; Scherer, William T. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7

present a new example illustrating the bias when applied to an efficient frontier. …

Persistent link: https://www.econbiz.de/10013179703

Volatility and GMM : Monte Carlo studies and empirical estimations

Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321

Persistent link: https://www.econbiz.de/10001401125

Optimally Sampled Realized Range-Based Volatility Estimators

Vortelinos, Dimitrios I. - 2015

Range-based volatility estimators are analyzed in both daily and intraday sampling frequency and are also compared to …-based estimators are introduced. These three realized Parkinson range-based estimators are estimated inan optimal sampling frequency …

Persistent link: https://www.econbiz.de/10013029272