Forecasting VaR using analytic higher moments for GARCH processes
Carol Alexander; Emese Lazar; Silvia Stanescu
| Year of publication: |
2013
|
|---|---|
| Authors: | Alexander, Carol ; Lazar, Emese ; Stanescu, Silvia |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 30.2013, p. 36-45
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| Subject: | GARCH | Higher conditional moments | Approximate predictive distributions | Value-at-Risk | S&P 500 | Treasury bill rate | Euro-US dollar exchange rate | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | US-Dollar | US dollar | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Schätzung | Estimation | Euro | Staatspapier | Government securities |
| 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/10010460001