Estimating Value At Risk
Year of publication: |
2010-01
|
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Authors: | Lu, Zudi ; Huang, Hai |
Institutions: | Business School, University of Sydney |
Subject: | Asymmetric Laplace distribution | Exponentially weighted moving average (EWMA) | forecasting | Skewed EWMA | Skewness and heavy tails | Time-varying shape parameter | Value-at-risk (VaR) |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 01/2010 21 pages |
Classification: | C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets |
Source: |
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Gerlach, Richard, (2010)
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Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André, (2015)
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Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André, (2015)
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Gerlach, Richard, (2010)
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Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
Gerlach, Richard, (2013)
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Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard, (2013)
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