Journal article · 2015

Daily VaR forecasts with realized volatility and GARCH models

Będowska-Sójka, B.

Argumenta Oeconomica, 34(1), 157–173

DOI: 10.15611/aoe.2015.1.06

Full text: see the publisher version via DOI.

Research topics: Volatility, high-frequency data and macroeconomic news

Cite

@article{ae2015_var,
  title = {Daily VaR forecasts with realized volatility and GARCH models},
  author = {Będowska-Sójka, B.},
  year = {2015},
  journal = {Argumenta Oeconomica},
  note = {34(1), 157–173},
  doi = {10.15611/aoe.2015.1.06}
}