Quantile Forecasts of Financial Returns Using Realized GARCH Models

Material type: 文書・図像類

Author: 渡部, 敏明

Publisher: Institute of Economic Research, Hitotsubashi University

Publication date: 2011-07

Material Format: Digital

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Note (General)：: Financial support from the Ministry of Education, Culture, Sports, Science and Technology of the Japanese Government throgh Grant-in-Aid for Scientifi...

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Material Type: 文書・図像類
Title: Quantile Forecasts of Financial Returns Using Realized GARCH Models
Author/Editor: 渡部, 敏明
Author Heading: 渡部, 敏明ワタナベ, トシアキ
https://nrid.nii.ac.jp/nrid/1000090254135/
Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
Publication Date: 2011-07
Publication Date (W3CDTF): 2011-07
Contributor: 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
Text Language Code: eng
Subject Heading: Expected shortfall
GARCH
Realized volatility
Skewed student's t-distribution
Value-at-Risk
Target Audience: 一般
Note (General): Financial support from the Ministry of Education, Culture, Sports, Science and Technology of the Japanese Government throgh Grant-in-Aid for Scientific Research (No. 18203901) and the Global COE program "Research Unit for Statistical and Empirical Analysis in Social Sciences" at Hitotsubashi University
グローバルCOEプログラム = Global COE Program
Format (IMT): application/pdf
Source: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/19241/gd11-195.pdf （fulltext）
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/19241/gd11-195.pdf
Access Restrictions: インターネット公開
Periodical Title: Global COE Hi-Stat Discussion Paper Series ; No. 195
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources