Forecasting risk via realized GARCH, incorporating the realized range

被引：32
作者：
Gerlach, Richard [1 ]
Wang, Chao [1 ]
机构：
[1] Univ Sydney, Discipline Business Analyt, Sch Business, Sydney, NSW 2006, Australia
来源：
QUANTITATIVE FINANCE | 2016年 / 16卷 / 04期
关键词：
VALUE-AT-RISK; VOLATILITY; MODELS; MANAGEMENT; VARIANCE;
D O I：
10.1080/14697688.2015.1079641
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：501 / 511
页数：11
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