The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting

DOI10.1002/for.2249zbMath1397.91605OpenAlexW2325204991MaRDI QIDQ4687342

Spyros Xanthopoulos-Sisinis, Dimitrios P. Louzis, A.-P. N. Refenes

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/35252/1/MPRA_paper_35252.pdf

zbMATH Keywords

realized GARCHalternative volatility measuresmultiple forecasting horizons

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Related Items (1)

Modeling and forecasting exchange rate volatility in time-frequency domain

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