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Density forecasting with time-varying higher moments : a model confidence set approach
Wilhelmsson, Anders - In: Journal of forecasting 32 (2013) 1, pp. 19-31
Persistent link: https://www.econbiz.de/10009758731
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Value at risk with time varying variance, skewness and kurtosis : the NIG-ACD model
Wilhelmsson, Anders - In: The econometrics journal 12 (2009) 1, pp. 82-104
Persistent link: https://www.econbiz.de/10003841973
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Garch forecasting performance under different distribution assumptions
Wilhelmsson, Anders - In: Journal of forecasting 25 (2006) 8, pp. 561-578
Persistent link: https://www.econbiz.de/10003402056