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ArticleModelling daily Value-at-Risk using realized volatility and ARCH type models

Pierre Giot2004

Article2004

Modelling daily Value-at-Risk using realized volatility and ARCH type models

Pierre Giot · Sébastien Laurent

399 citations·0/0 files stored·Journal of Empirical Finance

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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 2012The Econometrics of Financial Markets 1987Expected stock returns and volatility 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1993A long memory property of stock market returns and a new model

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2006A power GARCH examination of the gold market 2008An econometric analysis of emission allowance prices 2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models 2014Forecasting the volatility of crude oil futures using intraday data 2004Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries

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Year2004

Typearticle

Published2004-04-10

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations399

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2003.04.003

openalex_workW3022035575

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2005

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