Forecasting VaR using analytic higher moments for GARCH processes
Year of publication: |
2013
|
---|---|
Authors: | Alexander, Carol ; Lazar, Emese ; Stanescu, Silvia |
Published in: |
International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 30.2013, C, p. 36-45
|
Publisher: |
Elsevier |
Subject: | GARCH | Higher conditional moments | Approximate predictive distributions | Value-at-Risk | S&P 500 | Treasury bill rate | Euro–US dollar exchange rate |
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