Are realized volatility models good candidates for alternative Value at Risk prediction strategies?
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- 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.
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More about this item
Keywords
High frequency intraday data; Filtered Historical Simulation; Extreme Value Theory; Value-at-Risk forecasting; Financial crisis.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2011-04-30 (Econometric Time Series)
- NEP-FOR-2011-04-30 (Forecasting)
- NEP-ORE-2011-04-30 (Operations Research)
- NEP-RMG-2011-04-30 (Risk Management)
Statistics
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