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This list focuses on Statistical Analysis of Economic Data and on Econometric Theory. It does NOT include journals focused on only Economic Theory. Country of Website indicated in [brackets] . Information can differ across sites! The [ABI] -sign indicates full-text availability via ABI/Inform Global via Internet . The [ABI US] link leads directly to recent issues of the journal (if you(r institution) subscribe(s)). A Bell and Howell ProQuest database. This North American business-database is accessible through many University and college libraries with (Business) Economics Departments. Bell and Howell (incorporating ...
In this paper, we assess the information content of volatility forecasts based on the VIX and VXN implied volatility indexes in a daily market risk evaluation framework. Our empirical application focuses on the S&P100 and NASDAQ100 indexes and we high-light the models’ performances in distinct historical time periods which include bull/bear markets and high/low volatility markets. The performance of the VaR models is evaluated using a wide range of tests which span LR, independence, conditional coverage and density forecast tests. Our results show that straightforward volatility forecasts ... Read More
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