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
| 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)
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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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