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13-092/III - Realized Volatility Risk


  • Authors
    David E. Allen, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, and Complutense University of Madrid; Marcel Scharth, University of New South Wales, Australia
  • Publication date
    July 16, 2013
  • Keywords
    Realized volatility, volatility of volatility, volatility risk, value-at-risk, forecasting,
  • JEL
    C14, C22, C58, G15