Quantile Forecasts of Financial Returns Using Realized GARCH Models
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- Dimitrios P. Louzis & Spyros Xanthopoulos‐Sisinis & Apostolos P. Refenes, 2013.
"The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 561-576, September.
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper 35252, University Library of Munich, Germany.
More about this item
KeywordsExpected shortfall; GARCH; Realized volatility; Skewed student's t-distribution; Value-at-Risk;
All these keywords.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2011-08-09 (Econometrics)
- NEP-ETS-2011-08-09 (Econometric Time Series)
- NEP-FOR-2011-08-09 (Forecasting)
- NEP-MST-2011-08-09 (Market Microstructure)
- NEP-RMG-2011-08-09 (Risk Management)
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