The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting (Q4687342)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting |
scientific article; zbMATH DE number 6951857
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting |
scientific article; zbMATH DE number 6951857 |
Statements
The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting (English)
0 references
11 October 2018
0 references
realized GARCH
0 references
multiple forecasting horizons
0 references
alternative volatility measures
0 references
