Search Results - subject:"Approximate predictive distributions"

Analytic moments for GJR-GARCH (1, 1) processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International journal of forecasting 37 (2021) 1, pp. 105-124

Persistent link: https://www.econbiz.de/10012692629

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - Henley Business School, University of Reading - 2010

moments; and we demonstrate empirically that some excellent approximate predictive distributions can be obtained from these …

Persistent link: https://www.econbiz.de/10010838036

Forecasting VaR using analytic higher moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International Review of Financial Analysis 30 (2013) C, pp. 36-45

It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are based on an appropriately specified GARCH process. But when the forecast horizon is greater than the frequency of the GARCH model, such predictions have typically required time-consuming simulations of the...

Persistent link: https://www.econbiz.de/10010730276

Forecasting VaR using analytic higher moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45

Persistent link: https://www.econbiz.de/10010460001