Artemis Potamia

Panteion University of Athens - Department of Economic and Regional Development

136, Sygrou Avenue

176 71 Athens

Greece

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Scholarly Papers (1)

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Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data

Number of pages: 34 Posted: 26 Oct 2018
Stavros Antonios Degiannakis and Artemis Potamia
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Panteion University of Athens - Department of Economic and Regional Development
Downloads 14 (742,087)

Abstract:

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Basel II, Basel III, Value-at-Risk, Expected Shortfall, volatility forecasting, intraday data, multi-period-ahead, forecasting accuracy, risk modelling