scholarly journals The Role of High Frequency Intra-Daily Data, Daily Range and Implied Volatility in Multi-Period Value-at-Risk Forecasting

2011 ◽  
Author(s):  
Dimitrios P. Louzis ◽  
Spyros Xanthopoulos-Sisinis ◽  
Apostolos N. Refenes
Keyword(s):  
At Risk ◽  
High Frequency ◽  
Value At Risk ◽  
Implied Volatility ◽  
Daily Range ◽  
Daily Data ◽  
Risk Forecasting

scholarly journals The Role of High-Frequency Intra-daily Data, Daily Range and Implied Volatility in Multi-period Value-at-Risk Forecasting

2013 ◽  
Vol 32 (6) ◽  
pp. 561-576 ◽  
Author(s):  
Dimitrios P. Louzis ◽  
Spyros Xanthopoulos-Sisinis ◽  
Apostolos P. Refenes
Keyword(s):  
At Risk ◽  
High Frequency ◽  
Value At Risk ◽  
Implied Volatility ◽  
Daily Range ◽  
Daily Data ◽  
Risk Forecasting

Generalized value at risk forecasting

2019 ◽  
Vol 49 (20) ◽  
pp. 4988-4995 ◽  
Author(s):  
Aerambamoorthy Thavaneswaran ◽  
Alex Paseka ◽  
Julieta Frank
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Forecasting
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