Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
Year of publication: |
2012
|
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Authors: | Gabrielsen, Alexandros |
Other Persons: | Zagaglia, Paolo (contributor) ; Kirchner, Axel (contributor) ; Liu, Zhuoshi (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Theorie | Theory | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (35 p) |
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Series: | Quaderni DSE Working Paper ; No. 831 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 7, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2079526 [DOI] |
Classification: | C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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