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

Dimitrios Louzis, Spyros Xanthopoulos‐Sisinis and Apostolos P. Refenes

Journal of Forecasting, 2013, vol. 32, issue 6, 561-576

Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (16)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:32:y:2013:i:6:p:561-576

Journal of Forecasting is currently edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().