Incorporating higher moments into value-at-risk forecasting (Q3065537)
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scientific article; zbMATH DE number 5833044
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Incorporating higher moments into value-at-risk forecasting |
scientific article; zbMATH DE number 5833044 |
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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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0.86084205
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0.8558237
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