Practical implications of higher moments in risk management

DOI10.1007/s10260-011-0166-zzbMath1337.62290OpenAlexW1973016585MaRDI QIDQ413990

Francesco Lisi, Matteo Grigoletto

Publication date: 8 May 2012

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-011-0166-z

zbMATH Keywords

skewnessGARCH modelstime-varying kurtosistime-varying skewnessVaR prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items

Higher-order comoments and asset returns: evidence from emerging equity markets ⋮ The uncertainty of conditional returns, volatilities and correlations in DCC models ⋮ Robust bootstrap forecast densities for GARCH returns and volatilities ⋮ Central moments, stochastic dominance, moment rule, and diversification with an application

Uses Software

• CAViaR

Cites Work

• Unnamed Item
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