مرکز منطقه ای اطلاع رساني علوم و فناوري - A note on the importance of overnight information in risk management models

Title of article :

A note on the importance of overnight information in risk management models

Author/Authors :

Nicholas Taylor، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

161

To page :

180

Keywords :

Value-at-Risk , Conditional volatility , Realized volatility , Overnight information

Journal title :

Journal of Banking and Finance

Serial Year :

2007

Journal title :

Journal of Banking and Finance

Record number :

193977

Link To Document :