; realised exchange-rate volatility ; risk management ; fat tailed distributions ; kernel density estimation …

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former … diversification, and how an acknowledgment of volatility clustering can enhance the quality of risk models. The analysis is carried … risk historically received more attention, especially in financial regulation, our analysis shows that volatility clusters …

by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over …