Pages that link to "Item:Q5001146"
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The following pages link to Forecasting risk via realized GARCH, incorporating the realized range (Q5001146):
Displaying 8 items.
- A measure of market volatility based on F-transform (Q2219374) (← links)
- Estimating value-at-risk and expected shortfall using the intraday low and range data (Q2272312) (← links)
- Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models (Q2697030) (← links)
- Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility (Q4555071) (← links)
- How does the choice of Value-at-Risk estimator influence asset allocation decisions? (Q4619539) (← links)
- Extreme downside risk and market turbulence (Q5212065) (← links)
- Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution (Q5234329) (← links)
- Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
