The Role of High-Frequency Prices, Long Memory and Jumps for Value-at-Risk Prediction

2012 ◽  
Author(s):  
Ana-Maria Fuertes ◽  
Jose Olmo
Keyword(s):  
At Risk ◽  
Risk Prediction ◽  
Long Memory ◽  
High Frequency ◽  
Value At Risk

scholarly journals The Role of High-Frequency Intra-daily Data, Daily Range and Implied Volatility in Multi-period Value-at-Risk Forecasting

2013 ◽  
Vol 32 (6) ◽  
pp. 561-576 ◽  
Author(s):  
Dimitrios P. Louzis ◽  
Spyros Xanthopoulos-Sisinis ◽  
Apostolos P. Refenes
Keyword(s):  
At Risk ◽  
High Frequency ◽  
Value At Risk ◽  
Implied Volatility ◽  
Daily Range ◽  
Daily Data ◽  
Risk Forecasting

scholarly journals The Role of High Frequency Intra-Daily Data, Daily Range and Implied Volatility in Multi-Period Value-at-Risk Forecasting

2011 ◽  
Author(s):  
Dimitrios P. Louzis ◽  
Spyros Xanthopoulos-Sisinis ◽  
Apostolos N. Refenes
Keyword(s):  
At Risk ◽  
High Frequency ◽  
Value At Risk ◽  
Implied Volatility ◽  
Daily Range ◽  
Daily Data ◽  
Risk Forecasting

Statistical benefits of value-at-risk with long memory

2005 ◽  
Vol 7 (4) ◽  
pp. 21-45 ◽  
Author(s):  
Andrea Beltratti ◽  
Claudio Morana
Keyword(s):  
At Risk ◽  
Long Memory ◽  
Value At Risk

scholarly journals The time-varying role of timberland in long-term, mixed-asset portfolios under the mean conditional value-at-risk framework

2020 ◽  
Vol 113 ◽  
pp. 102136
Author(s):  
Hector Restrepo ◽  
Weiyi Zhang ◽  
Bin Mei
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Time Varying ◽  
Risk Framework ◽  
The Mean

Value at risk, cross-sectional returns and the role of investor sentiment

2020 ◽  
Vol 56 ◽  
pp. 1-18 ◽  
Author(s):  
Jia Bi ◽  
Yifeng Zhu
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Investor Sentiment ◽  
Cross Sectional

Value-at-risk and expected shortfall: a dual long memory framework

2014 ◽  
Vol 16 (4) ◽  
pp. 416
Author(s):  
Zouheir Mighri ◽  
Faysal Mansouri ◽  
Geoffrey J.D. Hewings
Keyword(s):  
At Risk ◽  
Long Memory ◽  
Value At Risk ◽  
Expected Shortfall

Assessing the role of U.S. timberland assets in a mixed portfolio under the mean-conditional value at risk framework

2015 ◽  
Vol 50 ◽  
pp. 118-126 ◽  
Author(s):  
Yang Wan ◽  
Michael L. Clutter ◽  
Bin Mei ◽  
Jacek P. Siry
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Risk Framework ◽  
The Mean
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