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Investigation of a Class of Volatility Estimators · Study

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ArticleInvestigation of a Class of Volatility Estimators

Jacob Boudoukh A1997

Article1997

Investigation of a Class of Volatility Estimators

Jacob Boudoukh A · Matthew P. Richardson · Robert Whitelaw

80 citations·0/0 files stored·The Journal of Derivatives

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Semiparametric ARCH Models

Cited by

1999Value‐at‐Risk Analysis: A Review and the Potential for Agricultural Applications 2015Forecasting stock market volatility using Realized GARCH model: International evidence 2003Robust estimation of the optimal hedge ratio 2015Does VIX or volume improve GARCH volatility forecasts?2000Forecasting time-dependent conditional densities: a semi non-parametric neural network approach 2009Incorporating higher moments into value‐at‐risk forecasting 2023Nonparametric Estimation of Conditional Expected Shortfall 2002The Role of Value‐at‐Risk in Purchasing: An Application to the Foodservice Industry

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Details

Year1997

Typearticle

Published1997-02-28

VenueThe Journal of Derivatives

ISSN-L1074-1240

Languageen

Citations80

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.3905/jod.1997.407973

openalex_workW2108984646

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