Work

Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence

Year: 2012

Type: article

Source: International Review of Financial Analysis

DOI: 10.1016/j.irfa.2012.06.001

Authors: Stavros Degiannakis, Christos Floros, Pamela Dent

Institutions: Hellenic Open University, University of Portsmouth

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: European Commission, FP7 People: Marie-Curie Actions

Award: Volatility forecasting evaluation based on loss function with well-defined multivariate distributional form and ultra-high frequency datasets

OpenAlex ID: W2165845795

FWCI: 7.44

Cites: 68

Cited by: 48

Related to: 10