Louzis, Dimitrios P. and Xanthopoulos-Sisinis, Spyros and Refenes, Apostolos P. (2011): Are realized volatility models good candidates for alternative Value at Risk prediction strategies?
Louzis, Dimitrios P. and Xanthopoulos-Sisinis, Spyros and Refenes, Apostolos P. (2011): The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting.
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