Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
André Lucas, Xin Zhang
| Year of publication: |
April-June 2016
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|---|---|
| Authors: | Lucas, André ; Zhang, Xin |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 32.2016, 2, p. 293-302
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| Subject: | Dynamic volatilities | Dynamic higher-order moments | Integrated generalized autoregressive score models | Exponentially Weighted Moving Average (EWMA) | Value-at-Risk (VaR) | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2015.09.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011596763