Work

Tail risk forecasting of realized volatility CAViaR models

Year: 2022

Type: article

Source: Finance research letters

DOI: 10.1016/j.frl.2022.103326

Authors: Cathy W.S. Chen, Hsiao-Yun Hsu, Toshiaki Watanabe

Institutions: Feng Chia University, Hitotsubashi University, Institute of Economic Research, Hitotsubashi University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Ministry of Education, Culture, Sports, Science and Technology, Japan Society for the Promotion of Science

Awards: G4113178263, New developments in high dimensional data modeling and statistical risk analysis, G5931481306, Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency data

OpenAlex ID: W4296200644

FWCI: 2.364

Cites: 33

Cited by: 19

Related to: 10