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Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework

Gabrielsen, Alexandros; Kirchner, Axel; Liu, Zhuoshi; … - In: Annals of financial economics 10 (2015) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011382540

Forecasting value-at-risk with time-varying variance, skewnessn and kurtosis in an exponential weighted moving average framework

Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...

Persistent link: https://www.econbiz.de/10011731521

Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework

Gabrielsen, Alexandros - 2012

Persistent link: https://www.econbiz.de/10013105503

Power grid operation optimization and forecasting using a combined forecasting system

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Persistent link: https://www.econbiz.de/10013465771

Tourism demand interval forecasting amid COVID-19 : a hybrid model with a modified multi-objective optimization algorithm

Wang, Jianzhou; Zhang, Lifang; Liu, Zhenkun; Huang, Xiaojia - In: Journal of hospitality & tourism research : JHTR ; the … 48 (2024) 7, pp. 1164-1181

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Analysis of internet financial risks based on deep learning and BP neural network

Liu, Zixian; Du, Guansan; Zhou, Shuai; Lu, Haifeng; Ji, Han - In: Computational economics 59 (2022) 4, pp. 1481-1499

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Analysts' experience and interpretation of discretionary accruals in predicting future earnings

Liu, Alfred Zhu; Schneible, Richard Arthur <Jr.> - In: Advances in accounting : a research annual 38 (2017), pp. 88-98

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Explainable profit-driven hotel booking cancellation prediction based on heterogeneous stacking-based ensemble classification

Liu, Zhenkun; De Bock, Koen W.; Zhang, Lifang - In: European journal of operational research : EJOR 321 (2025) 1, pp. 284-301

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Extreme gradient boosting trees with efficient Bayesian optimization for profit-driven customer churn prediction

Liu, Zhenkun; Jiang, Ping; De Bock, Koen W.; Wang, Jianzhou - In: Technological forecasting and social change : an … 198 (2024), pp. 1-16

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VIX and stock market volatility predictability : a new approach

Liu, Zhichao; Liu, Jing; Zeng, Qing; Wu, Lan - In: Finance research letters 48 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10013460221