Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting
Year of publication: |
2014
|
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Authors: | Lucas, André ; Zhang, Xin |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | dynamic volatilities | time varying higher order moments | integrated generalized autoregressive score models | Exponential Weighted Moving Average (EWMA) | Value-at-Risk (VaR) |
Series: | Tinbergen Institute Discussion Paper ; 14-092/IV/DSF77 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 791627225 [GVK] hdl:10419/107806 [Handle] RePEc:dgr:uvatin:20140092 [RePEc] |
Classification: | C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets |
Source: |
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