Dynamic tail risk forecasting : what do realized skewness and kurtosis add?

Giampiero M. Gallo, Ostap Okhrin, Giuseppe Storti

Year of publication:	ottobre 2024 ; Prima edizione
Authors:	Gallo, Giampiero M. ; Okhrin, Ostap ; Storti, Giuseppe
Publisher:	Cagliari : Arkadia
Subject:	Value at Risk \| CAViaR \| Expected Shortfall \| Realized Skewness \| Realized Kurtosis \| Risikomaß \| Risk measure \| Kapitaleinkommen \| Capital income \| Statistische Verteilung \| Statistical distribution \| Volatilität \| Volatility \| Aktienindex \| Stock index \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection \| ARCH-Modell \| ARCH model \| Schätzung \| Estimation

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