VaR prediction under long memory in volatility

DOI10.1007/978-3-642-20009-0_20MaRDI QIDQ5232808zbMATH OpenOpenAlexFDO

Authors Harald Kinateder, Niklas Wagner

Publication date 13 September 2019

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-20009-0_20

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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• Empirical properties of asset returns: stylized facts and statistical issues
• scientific article; zbMATH DE number 2042816 (Why is no real title available?)
• Modeling volatility persistence of speculative returns: a new approach
• Temporal Aggregation of Garch Processes

Cited in

(3)

• Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return
• The long memory HEAVY process: modeling and forecasting financial volatility
• Alternative modeling for long term risk

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