Forecasting VaR using realized EGARCH model with skewness and kurtosis
Xinyu Wu, Michelle Xia, Huanming Zhang
| Year of publication: |
2020
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|---|---|
| Authors: | Wu, Xinyu ; Xia, Michelle ; Zhang, Huanming |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 32.2020, p. 1-7
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| Subject: | Leverage effect | Non-Gaussianities | RealEGARCH-SK | Realized measure | VaR | VAR-Modell | VAR model | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Schätzung | Estimation | Volatilität | Volatility | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.01.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012430736