Modeling realized volatility with implied volatility for the EUR/GBP exchange rate

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of risk
1. Verfasser: Rokicka, Anna (VerfasserIn)
Weitere Verfasser: Kudła, Janusz (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2021
Schlagworte:
volatility forecast > implied volatility > realized volatility > heterogeneous autoregression models > high-frequency data > Aufsatz in Zeitschrift
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Titel Jahr Verfasser
Insurance institutional shareholding and banking systemic risk contagion : an empirical study based on a least absolute shrinkage and selection operator-vector autoregression high-dimensional network 2023 Song, Xiaotong
Target-date funds : lessons learned? 2023 Chang, Bin
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk 2023 Xie, Qiwei
The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock : a tale of two markets 2023 Yu, Ziliang
On capital allocation under information constraints 2023 Börner, Christoph J.
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility 2023 Wu, Xinyu
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation 2023 Hassani, Samir Saissi
The informativeness of risk factor disclosures : estimating the covariance matrix of stock returns using similarity measures 2023 Tilmann, Lukas
Allocating and forecasting changes in risk 2023 Gaigall, Daniel
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach 2023 Chen, Jiusheng
The impacts of financial and macroeconomic factors on financial stability in emerging countries : evidence from Turkey's nonperforming loans 2023 Kartal, Mustafa Tevfik
Uncovering the hidden impact : noninvestor disagreement and its role in asset pricing 2023 Liu, Tingli
An approach to capital allocation based on mean conditional value-at-risk 2023 Han, Yuecai
Value-at-risk models : a systematic review of the literature 2023 Shayya, Reem
A theory for combinations of risk measures 2023 Righi, Marcelo Brutti
A dynamic program under Lévy processes for valuing corporate securities 2023 Ben-Ameur, Hatem
Modeling maxima with a regime-switching Fréchet model 2022 Tan, Keqi
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall 2022 Letmathe, Sebastian
High-frequency movements of the term structure of US interest rates : the role of oil market uncertainty 2022 Bouri, Elie
Future portfolio returns and the VIX term structure 2022 Aharon, David Yechiam
Alle Artikel auflisten