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Tail risk forecasting of realized volatility CAViaR models · Study

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ArticleTail risk forecasting of realized volatility CAViaR models

Cathy W. S. Chen2022

Article2022

Tail risk forecasting of realized volatility CAViaR models

Cathy W. S. Chen · Hsiao-Yun Hsu · Toshiaki Watanabe

18 citations·0/0 files stored·Finance research letters

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1999Coherent Measures of Risk 2003Modeling and Forecasting Realized Volatility 1998Evaluating Interval Forecasts 2008A Simple Approximate Long-Memory Model of Realized Volatility 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2004CAViaR

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Year2022

Typearticle

Published2022-09-16

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations18

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2022.103326

openalex_workW4296200644

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