Does the tail risk index matter in forecasting downside risk?-Reference-Cited by-同舟云学术

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Does the tail risk index matter in forecasting downside risk?

Published:2022-02-07 Issue: Volume: Page:
ISSN:1076-9307
Container-title:International Journal of Finance & Economics
language:en
Short-container-title:Int. J Fin Econ

Author:

Hung Jui‐Cheng¹,Liu Hung‐Chun²^ORCID,Yang J. Jimmy³

Affiliation:

1. Department of Banking and Finance Chinese Culture University Taipei Taiwan

2. Department of Finance Chung Yuan Christian University Taoyuan Taiwan

3. School of Accounting, Finance, and Information Systems, College of Business Oregon State University Corvallis Oregon USA

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.2602

Reference41 articles.

1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

2. The distribution of realized stock return volatility

3. Econometric analysis of realized volatility and its use in estimating stochastic volatility models

4. Estimating quadratic variation using realized variance

5. Power and Bipower Variation with Stochastic Volatility and Jumps

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The fear of fear in the US stock market: Changing characteristics of the VVIX;Finance Research Letters;2023-07

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