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Realized volatility models and alternative Value-at-Risk prediction strategies

✍ Scribed by Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; Refenes, Apostolos P.

Book ID
121744445
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
529 KB
Volume
40
Category
Article
ISSN
0264-9993

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## ABSTRACT This paper proposes value‐at risk (VaR) estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility. The appeal of this proposal is that it merges information from the historical time series and the different inf