Matches in SemOpenAlex for { <https://semopenalex.org/work/W3142308165> ?p ?o ?g. }
Showing items 1 to 85 of
85
with 100 items per page.
- W3142308165 abstract "In this paper, we assess the informational content of daily range, realized variance, realized bipower variation, two time scale realized variance, realized range and implied volatility in daily, weekly, biweekly and monthly out-of-sample Value-at-Risk (VaR) predictions. We use the recently proposed Realized GARCH model combined with the skewed student distribution for the innovations process and a Monte Carlo simulation approach in order to produce the multi-period VaR estimates. The VaR forecasts are evaluated in terms of statistical and regulatory accuracy as well as capital efficiency. Our empirical findings, based on the S&P 500 stock index, indicate that almost all realized and implied volatility measures can produce statistically and regulatory precise VaR forecasts across forecasting horizons, with the implied volatility being especially accurate in monthly VaR forecasts. The daily range produces inferior forecasting results in terms of regulatory accuracy and Basel II compliance. However, robust realized volatility measures such as the adjusted realized range and the realized bipower variation, which are immune against microstructure noise bias and price jumps respectively, generate superior VaR estimates in terms of capital efficiency, as they minimize the opportunity cost of capital and the Basel II regulatory capital. Our results highlight the importance of robust high frequency intra-daily data based volatility estimators in a multi-step VaR forecasting context as they balance between statistical or regulatory accuracy and capital efficiency." @default.
- W3142308165 created "2021-04-13" @default.
- W3142308165 creator A5069115216 @default.
- W3142308165 creator A5077992035 @default.
- W3142308165 creator A5052147005 @default.
- W3142308165 date "2011-01-01" @default.
- W3142308165 modified "2023-09-26" @default.
- W3142308165 title "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting" @default.
- W3142308165 hasPublicationYear "2011" @default.
- W3142308165 type Work @default.
- W3142308165 sameAs 3142308165 @default.
- W3142308165 citedByCount "0" @default.
- W3142308165 crossrefType "posted-content" @default.
- W3142308165 hasAuthorship W3142308165A5052147005 @default.
- W3142308165 hasAuthorship W3142308165A5069115216 @default.
- W3142308165 hasAuthorship W3142308165A5077992035 @default.
- W3142308165 hasConcept C10138342 @default.
- W3142308165 hasConcept C105795698 @default.
- W3142308165 hasConcept C117996083 @default.
- W3142308165 hasConcept C149782125 @default.
- W3142308165 hasConcept C151730666 @default.
- W3142308165 hasConcept C162324750 @default.
- W3142308165 hasConcept C175444787 @default.
- W3142308165 hasConcept C185429906 @default.
- W3142308165 hasConcept C24189920 @default.
- W3142308165 hasConcept C2779343474 @default.
- W3142308165 hasConcept C2780299701 @default.
- W3142308165 hasConcept C2780759654 @default.
- W3142308165 hasConcept C2864544 @default.
- W3142308165 hasConcept C29122968 @default.
- W3142308165 hasConcept C32896092 @default.
- W3142308165 hasConcept C33923547 @default.
- W3142308165 hasConcept C60092789 @default.
- W3142308165 hasConcept C86803240 @default.
- W3142308165 hasConcept C88389905 @default.
- W3142308165 hasConcept C91602232 @default.
- W3142308165 hasConcept C94128290 @default.
- W3142308165 hasConceptScore W3142308165C10138342 @default.
- W3142308165 hasConceptScore W3142308165C105795698 @default.
- W3142308165 hasConceptScore W3142308165C117996083 @default.
- W3142308165 hasConceptScore W3142308165C149782125 @default.
- W3142308165 hasConceptScore W3142308165C151730666 @default.
- W3142308165 hasConceptScore W3142308165C162324750 @default.
- W3142308165 hasConceptScore W3142308165C175444787 @default.
- W3142308165 hasConceptScore W3142308165C185429906 @default.
- W3142308165 hasConceptScore W3142308165C24189920 @default.
- W3142308165 hasConceptScore W3142308165C2779343474 @default.
- W3142308165 hasConceptScore W3142308165C2780299701 @default.
- W3142308165 hasConceptScore W3142308165C2780759654 @default.
- W3142308165 hasConceptScore W3142308165C2864544 @default.
- W3142308165 hasConceptScore W3142308165C29122968 @default.
- W3142308165 hasConceptScore W3142308165C32896092 @default.
- W3142308165 hasConceptScore W3142308165C33923547 @default.
- W3142308165 hasConceptScore W3142308165C60092789 @default.
- W3142308165 hasConceptScore W3142308165C86803240 @default.
- W3142308165 hasConceptScore W3142308165C88389905 @default.
- W3142308165 hasConceptScore W3142308165C91602232 @default.
- W3142308165 hasConceptScore W3142308165C94128290 @default.
- W3142308165 hasLocation W31423081651 @default.
- W3142308165 hasOpenAccess W3142308165 @default.
- W3142308165 hasPrimaryLocation W31423081651 @default.
- W3142308165 hasRelatedWork W1531680306 @default.
- W3142308165 hasRelatedWork W1560818129 @default.
- W3142308165 hasRelatedWork W1564934828 @default.
- W3142308165 hasRelatedWork W1816836129 @default.
- W3142308165 hasRelatedWork W182928280 @default.
- W3142308165 hasRelatedWork W1991834911 @default.
- W3142308165 hasRelatedWork W2097218995 @default.
- W3142308165 hasRelatedWork W2132900645 @default.
- W3142308165 hasRelatedWork W2253040060 @default.
- W3142308165 hasRelatedWork W2261505111 @default.
- W3142308165 hasRelatedWork W2268999867 @default.
- W3142308165 hasRelatedWork W2278970466 @default.
- W3142308165 hasRelatedWork W2782101742 @default.
- W3142308165 hasRelatedWork W3122883661 @default.
- W3142308165 hasRelatedWork W3122902952 @default.
- W3142308165 hasRelatedWork W3123070447 @default.
- W3142308165 hasRelatedWork W3123277710 @default.
- W3142308165 hasRelatedWork W3124026849 @default.
- W3142308165 hasRelatedWork W3151055562 @default.
- W3142308165 hasRelatedWork W3125223951 @default.
- W3142308165 isParatext "false" @default.
- W3142308165 isRetracted "false" @default.
- W3142308165 magId "3142308165" @default.
- W3142308165 workType "article" @default.