Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
Year of publication: |
2015
|
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Authors: | Gabrielsen, Alexandros ; Kirchner, Axel ; Liu, Zhuoshi ; Zagaglia, Paolo |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 10.2015, 1, p. 1-29
|
Subject: | Exponential weighted moving average | time-varying higher moments | Cornish-Fisher expansion | Gram-Charlier density | risk management | value-at-risk | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
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