Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Year of publication: |
2022
|
---|---|
Authors: | Wang, Tianyi ; Liang, Fang ; Huang, Zhuo ; Yan, Hong |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 109.2022, p. 1-13
|
Subject: | Gram-Charlier expansion | Realized GARCH | Realized GARCH-RSRK | Realized higher moments | Value-at-Risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Theorie | Theory | Momentenmethode | Method of moments |
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