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