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Quantile Forecasts of Financial Returns Using Realized GARCH Models

Quantile Forecasts of Financial Returns Using Realized GARCH Models
Digital文書・図像類
渡部, 敏明Institute of Economic Research, Hitotsubashi University2011-07
Available onlineOther Libraries in Japan
  • Summary, etc....model with the skewed student's t-distribution performs better than that wit...
  • Subject HeadingExpected shortfall GARCH Realized volatility Skewed student's t-distribution Value-at-Risk

Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution

Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
Paper文書・図像類
Takahashi, Makoto, Watanabe, Toshiaki, Omori, Yasuhiro日本経済国際共同センター2014-02Discussion paper series. CIRJE-FCIRJE-F-921
Other Libraries in Japan

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