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Volatility measures and Value-at-Risk
W.F.M. Bams
, G. Blanchard
, T. Lehnert
Research Line Innovation (part of LIRS program)
Research output
:
Contribution to journal
›
Article
›
Academic
›
peer-review
14
Citations (Web of Science)
Overview
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Keyphrases
At-risk
100%
Volatility Index
100%
Implied Volatility
100%
Volatility Modelling
50%
Historical Volatility
50%
Volatility Risk Premium
33%
Nonparametric
16%
Volatility Forecasting
16%
Dynamic Quantile Regression
16%
Parametric Adjustment
16%
Likelihood Ratio
16%
Statistical Loss Function
16%
Daily Data
16%
Negative Prices
16%
Change Dynamics
16%
Nasdaq 100 Index
16%
Dow Jones Industrial Average
16%
Poor Performance
16%
Volatility
16%
GJR-GARCH
16%
Volatility Risk
16%
Forecaster
16%
S&P 500
16%
Return Distribution
16%
Economics, Econometrics and Finance
Volatility
100%
Risk Premium
13%
Time Series
6%
Generalized Autoregressive Conditional Heteroskedasticity
6%
Price
6%