Forecasting the Value-at-Risk of REITs using realized volatility jump models
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference23 articles.
1. Does realized skewness predict the cross-section of equity returns?;Amaya;Journal of Financial Economics,2015
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4. The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR;Bali;Journal of Banking & Finance,2008
5. The impact of jumps in volatility and returns;Barndorff-Nielsen;Journal of Finance,2003
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