The role of high-frequency intra-daily data, daily range and implied volatility in multi-period value-at-risk forecasting (Q4687342)
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scientific article; zbMATH DE number 6951857
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| 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)
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11 October 2018
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realized GARCH
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multiple forecasting horizons
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alternative volatility measures
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0.8131582736968994
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0.8028374314308167
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0.7822728157043457
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0.7756008505821228
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0.7726964354515076
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