Incorporating higher moments into value-at-risk forecasting (Q3065537): Difference between revisions

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Latest revision as of 14:24, 3 July 2024

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Incorporating higher moments into value-at-risk forecasting
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    Incorporating higher moments into value-at-risk forecasting (English)
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    6 January 2011
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    value-at-risk (VaR) forecasting
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    time-varying variance
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    skewness
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    kurtosis
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    gram
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    charlier series expansion
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