The Role of High-Frequency Intra-daily Data, Daily Range and Implied Volatility in Multi-period Value-at-Risk Forecasting.
- Published in:
- Journal of Forecasting, 2013, v. 32, n. 6, p. 561, doi. 10.1002/for.2249
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- Publication type:
- Article
Works matching IS 02776693 AND DT 2013 AND VI 32 AND IP 6
Results: 7
1
2
Short-Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors.
- Published in:
- Journal of Forecasting, 2013, v. 32, n. 6, p. 500, doi. 10.1002/for.2262
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- Publication type:
- Article
3
Exponentially Smoothing the Skewed Laplace Distribution for Value-at-Risk Forecasting.
- Published in:
- Journal of Forecasting, 2013, v. 32, n. 6, p. 534, doi. 10.1002/for.2255
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- Publication type:
- Article
4
An Option-Based Approach to Risk Arbitrage in Emerging Markets: Evidence from Taiwan Takeover Attempts.
- Published in:
- Journal of Forecasting, 2013, v. 32, n. 6, p. 512, doi. 10.1002/for.2250
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- Publication type:
- Article
5
Quantile Double AR Time Series Models for Financial Returns.
- Published in:
- Journal of Forecasting, 2013, v. 32, n. 6, p. 551, doi. 10.1002/for.2261
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- Publication type:
- Article
6
Comparison of Realized Measure and Implied Volatility in Forecasting Volatility.
- Published in:
- Journal of Forecasting, 2013, v. 32, n. 6, p. 522, doi. 10.1002/for.2253
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- Publication type:
- Article
7
Predicting Recessions with Factor Linear Dynamic Harmonic Regressions.
- Published in:
- Journal of Forecasting, 2013, v. 32, n. 6, p. 481, doi. 10.1002/for.2246
- By:
- Publication type:
- Article