Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
Alexandros Gabrielsen, Axel Kirchner, Zhuoshi Liu and Paolo Zagaglia
| Year of publication: |
2015
|
|---|---|
| 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 | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Volatilität | Volatility | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011382540