14-075/III - Asymmetric Realized Volatility Risk

• Authors
  David E. Allen, University of Sydney, University of South Australia, Australia; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University Madrid, Spain; Marcel Scharth, University of New South Wales, Australia
• Publication date
  June 23, 2014

• Keywords
  Realized volatility, volatility of volatility, volatility risk, value-at-risk, forecasting, conditional heteroskedasticity
• JEL
  C58, G12