TY  - RPRT
AU  - Allen, David E.
AU  - McAleer, Michael
AU  - Scharth, Marcel
PY  - 2013
UR  - https://hdl.handle.net/20.500.14352/41494
AB  - In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in...
LA  - eng
KW  - Realized volatility
KW  - Volatility of volatility
KW  - Volatility risk
KW  - Value-at-risk
KW  - forecasting
KW  - Conditional heteroskedasticity
TI  - Realized volatility risk
TY  - technical report
VL  - 2013
ER  -