Volatility measures and Value-at-Risk

Dennis Bams, Gildas Blanchard, Thorsten Lehnert

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)848-863
JournalInternational Journal of Forecasting
Volume33
Issue number4
DOIs
Publication statusPublished - 2017

Keywords

  • Value-at-Risk
  • Option implied volatility
  • Volatility risk premium
  • Time-series
  • GARCH models

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