The Role of High-Frequency Intra-daily Data, Daily Range and Implied Volatility in Multi-period Value-at-Risk Forecasting
Article first published online: 7 JUN 2013
Copyright © 2013 John Wiley & Sons, Ltd.
Journal of Forecasting
Volume 32, Issue 6, pages 561–576, September 2013
How to Cite
Louzis, D. P., Xanthopoulos-Sisinis, S. and Refenes, A. P. (2013), The Role of High-Frequency Intra-daily Data, Daily Range and Implied Volatility in Multi-period Value-at-Risk Forecasting. J. Forecast., 32: 561–576. doi: 10.1002/for.2249
- Issue published online: 26 JUL 2013
- Article first published online: 7 JUN 2013
- Manuscript Accepted: 25 JUL 2012
- Manuscript Revised: 11 MAY 2012
- Manuscript Received: 15 DEC 2011
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