Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Tianyi Wang, Fang Liang, Zhuo Huang, Hong Yan
| Year of publication: |
2022
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|---|---|
| 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
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| Subject: | Gram-Charlier expansion | Realized GARCH | Realized GARCH-RSRK | Realized higher moments | Value-at-Risk | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Schätzung | Estimation | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis | Informationswert | Information value | Theorie | Theory | Varianzanalyse | Analysis of variance |